Background/Objectives: Accurate diagnosis of thyroid cancer is critical but challenging due to overlapping ultrasound (US) features of benign and malignant nodules. This study aimed to evaluate the diagnostic performance of non-invasive and minimally invasive US techniques, including B-mode US, shear wave elastography (SWE), color Doppler, superb microvascular imaging (SMI), and TI-RADS, in patients with suspected thyroid lesions and to assess their reliability and cost effectiveness compared with fine needle aspiration (FNA) biopsy. Methods: A prospective, single-center study (October 2023–February 2025) enrolled 300 patients with suspected thyroid cancer at a Spanish tertiary hospital. Of these, 296 patients with confirmed diagnoses underwent B-mode US, SWE, Doppler, SMI, and TI-RADS scoring, followed by US-guided FNA and Bethesda System cytopathology. Lasso-penalized logistic regression and a bootstrap analysis (1000 replicates) were used to develop diagnostic models. A utility function was used to balance diagnostic reliability and cost. Results: Thyroid cancer was diagnosed in 25 patients (8.3%). Elastography combined with SMI achieved the highest diagnostic performance (Youden index: 0.69; NPV: 97.4%; PPV: 69.1%), outperforming Doppler-only models. Intranodular vascularization was a significant risk factor, while peripheral vascularization was protective. The utility function showed that, when prioritizing cost, elastography plus SMI was cost effective (α < 0.716) compared with FNA. Conclusions: Elastography plus SMI offers a reliable, cost-effective diagnostic rule for thyroid cancer. The utility function aids clinicians in balancing reliability and cost. SMI and generalizability need to be validated in higher prevalence settings.