Background/Objectives: CT-guided transthoracic core needle biopsy (CT-TTNB) is the standard technique for histological characterization of pulmonary lesions, yet it carries a 15–42% rate of pneumothorax and a 5–27% rate of alveolar hemorrhage. Accurate identification of modifiable and non-modifiable procedural determinants is essential for pre-procedural risk stratification, technique optimization, and post-procedural care. Methods: We conducted a single-centre retrospective cohort study of 240 consecutive CT-TTNB procedures performed between November 2023 and January 2025. The variables were extracted from medical records and PACS and entered into univariate and multivariate analysis models. Model performance was assessed by AUC-ROC, Nagelkerke R², and the Hosmer–Lemeshow test. Results: Pneumothorax occurred in 79 patients (32.9%), with chest tube drainage required in 14 (5.8%). Alveolar hemorrhage was identified in 49 patients (20.4%). Four independent predictors for pneumothorax were identified: needle–pleural angle (OR 0.837/1°; p < 0.001), pleura-to-lesion distance (OR 1.675/10 mm; p < 0.001), fissure traversal (OR 26.718; p = 0.003), and patient age (OR 1.076/year; p = 0.002); AUC-ROC 0.927. The alveolar hemorrhage model identified pleura-to-lesion distance (OR 1.768/10 mm; p < 0.001), RUL apical segment (OR 4.281; p < 0.001), and carcinomatous lymphangitis as protective factors (OR 0.359; p = 0.030); AUC-ROC 0.822. The needle–pleural angle was not independently associated with alveolar hemorrhage, confirming mechanistically distinct complication pathways. Conclusions: Needle–pleural angle is the dominant modifiable determinant of pneumothorax and pneumothorax-related complications. Optimizing the trajectory towards perpendicularity does not increase hemorrhage risk. These findings support the implementation of angle-based trajectory planning protocols and risk-stratified post-procedural monitoring.