Background: After a failed endoscopic retrograde cholangiopancreatography (ERCP) for malignant biliary obstruction (MBO), second-line drainage is performed with endoscopic ultrasound-guided biliary drainage (EUS-BD) or percutaneous transhepatic biliary drainage (PTBD). We compared their effectiveness, safety, and short-term survival. Methods: We conducted a single-center retrospective cohort of 101 adults with MBO after they had experienced a failed ERCP (EUS-BD n = 37; PTBD n = 64). Allocation was non-randomized and driven by operational availability. Baseline laboratory tests (complete blood count, platelets, and C-reactive protein) and derived indices (neutrophil-to-lymphocyte ratio [NLR], platelet-to-lymphocyte ratio [PLR], lymphocyte-to-monocyte ratio [LMR], systemic immune-inflammation index [SII], systemic inflammation response index [SIRI], neutrophil-to-platelet score [NPS], and lymphocyte-to-CRP ratio [LCR]) were compared. Outcomes that were a technical success include: an early biochemical response (bilirubin reduction), complications (Clavien–Dindo), length of stay (LOS), and overall survival (OS). Between-group comparisons used the two-sided Mann–Whitney U test (continuous) and Fisher’s exact (binary) test. Survival was assessed by the Kaplan–Meier estimator using log-rank testing. To address later adoption of EUS-BD, we also estimated a restricted mean survival time of 180 days (RMST_0–180) with 95% confidence intervals (CIs). Results: Baseline inflammatory markers and composite indices were similar; baseline total bilirubin was higher in PTBD. The technical success was 100% in both groups. Early biochemical response was 86.5% after EUS-BD vs. 78.1% after PTBD (p = 0.43). Any complication occurred in 29.7% vs. 12.5% (p = 0.04); major complications (Clavien–Dindo ≥ III) occurred in 10.8% vs. 0% (p = 0.02), respectively; and the LOS did not differ (p = 0.21). OS favored EUS-BD (median 143 vs. 54 days and log-rank p = 0.012). RMST_0–180 was 111.1 days for EUS-BD vs. 71.4 days for PTBD (difference + 39.6 days; 95% CI 11.3–65.9). Conclusions: After a failed ERCP for MBO, EUS-BD and PTBD achieved universal technical success and similar early biochemical responses, but EUS-BD was associated with higher complication rates and a significantly longer six-month survival. These findings support the individualized selection balancing procedural risk with the anticipated survival benefit and highlight the need for prospective comparative studies.