Background: Risk stratification in men with suspicion of prostate cancer (PCa) requires reliable diagnostic tests, not only to identify high-grade PCa, also to minimize the overdetection of low-grade PCa, and reduction of “unnecessary” prostate MRIs and biopsies. This study aimed to evaluate the SelectMDx test to detect high-grade PCa in biopsy-naïve men. Subsequently, to assess combinations of SelectMDx test and multi-parametric (mp) MRI and its potential impact on patient selection for prostate biopsy. Methods: This prospective multicenter diagnostic study included 599 biopsy-naïve patients with prostate-specific antigen level ≥3 ng/ml. All patients underwent a SelectMDx test and mpMRI before systematic transrectal ultrasound-guided biopsy (TRUSGB). Patients with a suspicious mpMRI also had an in-bore MR-guided biopsy (MRGB). Histopathologic outcome of TRUSGB and MRGB was used as reference standard. High-grade PCa was defined as ISUP Grade Group (GG) ≥ 2. The primary outcome was the detection rates of low- and high-grade PCa and number of biopsies avoided in four strategies, i.e., (1) SelectMDx test-only, (2) mpMRI-only, (3) SelectMDx test followed by mpMRI when SelectMDx test was positive (conditional strategy), and (4) SelectMDx test and mpMRI in all (joint strategy). A positive SelectMDx test outcome was a risk score of ≥−2.8. Decision curve analysis (DCA) was performed to assess clinical utility. Results: Prevalence of high-grade PCa was 31% (183/599). Thirty-eight percent (227/599) of patients had negative SelectMDx test in whom biopsy could be avoided. Low-grade PCa was not detected in 35% (48/138) with missing 10% (18/183) high-grade PCa. Yet, mpMRI-only could avoid 49% of biopsies, not detecting 4.9% (9/183) of high-grade PCa. The conditional strategy reduces the number of mpMRIs by 38% (227/599), avoiding biopsy in 60% (357/599) and missing 13% (24/183) high-grade PCa. Low-grade PCa was not detected in 58% (80/138). DCA showed the highest net benefit for the mpMRI-only strategy, followed by the conditional strategy at-risk thresholds >10%. Conclusions: SelectMDx test as a risk stratification tool for biopsy-naïve men avoids unnecessary biopsies in 38%, minimizes low-grade PCa detection, and misses only 10% high-grade PCa. Yet, using mpMRI in all patients had the highest net benefit, avoiding biopsy in 49% and missing 4.9% of high-risk PCa. However, if mpMRI availability is limited or expensive, using mpMRI-only in SelectMDx test positive patients is a good alternative strategy.