Background/Objectives: Systemic inflammation and nutritional status influence cancer progression and prognosis. The C-reactive protein–albumin–lymphocyte (CALLY) index is a novel biomarker reflecting inflammation, immune response, and nutritional status; however, its prognostic value in metastatic hormone-sensitive prostate cancer (mHSPC) remains unclear. Methods: This retrospective multicenter cohort study included 159 patients with de novo mHSPC diagnosed between January 2018 and April 2025. Baseline CALLY, neutrophil-to-lymphocyte ratio (NLR), systemic immune-inflammation index (SII), and systemic inflammation response index (SIRI) were calculated. Results: The optimal CALLY cut-off was 0.58. A low CALLY was associated with significantly shorter progression-free survival (PFS) and overall survival (OS). It correlated with higher tumor burden, higher Gleason grade, elevated prostate-specific antigen levels, and poorer performance status. In univariate analysis, a low CALLY predicted worse OS (HR 5.20; p = 0.021), although this effect was attenuated in multivariate analysis (HR 2.15; 95% CI 0.52–8.90; p = 0.290), and its absolute discriminatory performance in receiver operating characteristic analysis remained modest (AUC = 0.558). Complete response rates differed significantly (high-CALLY 41.7% vs. low-CALLY 5.9%, p < 0.001), suggesting a potential link between baseline CALLY and treatment response. Conclusions: Among the indices evaluated, CALLY demonstrated the highest, though still modest, discriminatory ability for overall survival (AUC 0.558), and was the only marker to reach statistical significance in survival analysis. Its prognostic effect was attenuated in multivariable analysis, suggesting that CALLY reflects, rather than independently drives, the systemic consequences of high-burden disease. These findings are exploratory, and prospective validation in larger cohorts is required to determine its potential clinical utility.