Background: Endobronchial ultrasound-guided transbronchial needle aspiration (EBUS-TBNA) represents the gold standard technique for the diagnosis and staging of lung carcinoma. However, its diagnostic yield may be limited for granulomatous pathologies or rare tumors requiring comprehensive histological and molecular analysis. Endobronchial ultrasound-guided transbronchial mediastinal cryobiopsy (EBUS-TMC) is an emerging technique that allows for the acquisition of larger histological samples with preserved tissue architecture. The primary objective of this prospective multicenter study was to evaluate the potential increase in diagnostic yield afforded by the addition of EBUS-TMC to EBUS-TBNA in patients selected by pre-test clinical–radiological criteria presenting with hilar–mediastinal lymphadenopathies without an obvious primary neoplastic lung lesion. Methods: The study prospectively enrolled 91 patients across two Italian interventional pulmonology units. Patients were selected based on a pre-defined clinical–radiological criterion aimed at excluding primary lung cancer suspects. For each patient, both EBUS-TBNA and EBUS-TMC were performed. Results: The overall diagnostic yield for the combined procedure was 84.6% (77/91 patients). EBUS-TMC achieved a diagnostic yield of 78.0%, which was significantly higher than EBUS-TBNA alone of 60.4%. The addition of EBUS-TMC resulted in a statistically significant increase in diagnostic yield of 17.6%. This increase was particularly pronounced for lymphoproliferative diseases. The safety profile of EBUS-TMC was favorable without major complications. The clinical–radiological criterion used to select patients for EBUS-TMC in addition to the standard of care of EBUS-TBNA, aiming at excluding primary lung cancer, was correct in 89.0% of the study population (81 out of 91 patients). Conclusions: EBUS-TMC is a safe and feasible technique that significantly enhances the diagnostic yield (17.6% absolute increase in diagnostic yield) in patients with hilar–mediastinal lymphadenopathies. The clinical–radiological criterion employed proved effective in pre-selecting patients who benefit most from cryobiopsy, thereby enabling a more rational allocation of healthcare resources.