Widespread use of PSA as the standard tool for prostate cancer (PCa) diagnosis led to a high rate of overdiagnosis and overtreatment. In this study, we evaluated the performance of the prostate health index (PHI) and multiparametric magnetic resonance imaging (mpMRI) for the prediction of positive biopsy and of high-grade PCa at radical prostatectomy (RP). To this end, we prospectively enrolled 196 biopsy-naïve patients who underwent mpMRI. A subgroup of 116 subjects with biopsy-proven PCa underwent surgery. We found that PHI significantly outperformed both PI-RADS score (difference in AUC: 0.14; p < 0.001) and PHI density (difference in AUC: 0.08; p = 0.002) in the ability to predict positive biopsy with a cut-off value of 42.7 as the best threshold. Conversely, comparing the performance in the identification of clinically significant prostate cancer (csPCa) at RP, we found that PHI ≥ 61.68 and PI-RADS score ≥ 4 were able to identify csPCa (Gleason score ≥ 7 (3 + 4)) both alone and added to a base model including age, PSA, fPSA-to-tPSA ratio and prostate volume. In conclusion, PHI had a better ability than PI-RADS score to predict positive biopsy, whereas it had a comparable performance in the identification of pathological csPCa.