We study a discrete-time approximation for solutions of systems of decoupled forward-backward stochastic differential equations with jumps. Assuming that the coefficients are Lipschitz-continuous, we prove the convergence of the scheme when the number of time steps $n$ goes to infinity. When the jump coefficient of the first variation process of the forward component satisfies a non-degeneracy condition which ensures its inversibility, we obtain the optimal convergence rate $n^{-1/2}$. The proof is based on a generalization of a remarkable result on the path-regularity of the solution of the backward equation derived by Zhang (2001, 2004) in the no-jump case. A similar result is obtained without the non-degeneracy assumption whenever the coefficients are $C^1_b$ with Lipschitz derivatives. Several extensions of these results are discussed. In particular, we propose a convergent scheme for the resolution of systems of coupled semilinear parabolic PDE's.