Introduction: Post-transplant relapse of acute myeloid leukemia and myelodysplastic syndrome faces restricted effective salvage regimens. We retrospectively analyzed the use of Azacitidine–donor lymphocyte infusion (AZA/DLI) in this setting. Furthermore, data on bone marrow Wilms tumor gene 1 (WT1) expression were collected. Methods: A Cox proportional hazards model, an outcome-oriented approach for the lowest smoothed plot of the martingale residuals, was performed for the cut-point determination of the respective WT1 expression levels. Finally, a Cox proportional hazards model investigated the association of overall survival (OS) with predictors. Results: An overall response of 41.4% with a median duration of 11.9 months for stable disease and 19.5 months for complete response (CR) patients was achieved. The disease risk index (DRI) high-/very high-risk patients had a shorter OS of 4.4 months than intermediate-risk patients, with 14.5 months, p = 0.007. At transplant, WT1-overexpressing patients (>150 copies) had a shorter median OS of 5.3 months than low-WT1-expressing ones, with 13.5 months, p = 0.024. Furthermore, patients with ≤1000 WT1 copies at relapse had a significantly longer OS with 15.3 months than patients overexpressing WT1, with 4.4 months, p = 0.0002. Conclusions: DRI and WT1 expression associate significantly with OS after AZA/DLI. Hence, WT1 may represent an MRD marker, especially in CR patients at high risk.