Introduction: The aims of this study were to evaluate the relationship of clinical and imaging baseline factors and treatment on the occurrence of early neurological improvement (ENI) in the WAKE-UP trial of MRI-guided intravenous thrombolysis in unknown onset stroke and to examine the association of ENI with long-term favorable outcome in patients treated with intravenous thrombolysis. Methods: We analyzed data from all patients with at least moderate stroke severity, reflected by an initial National Institutes of Health Stroke Scale (NIHSS) score ≥4 randomized in the WAKE-UP trial. ENI was defined as a decrease in NIHSS of ≥8 or a decline to zero or 1 at 24 h after initial presentation to the hospital. Favorable outcome was defined as a modified Rankin Scale score of 0–1 at 90 days. We performed group comparison and multivariable analysis of baseline factors associated with ENI and performed mediation analysis to evaluate the effect of ENI on the relationship between intravenous thrombolysis and favorable outcome. Results: ENI occurred in 93 out of 384 patients (24.2%) and was more likely to occur in patients who received treatment with alteplase (62.4% vs. 46.0%, p = 0.009), had smaller acute diffusion-weighted imaging lesion volume (5.51 mL vs. 10.9 mL, p ≤ 0.001), and less often large-vessel occlusion on initial MRI (7/93 [12.1%] versus 40/291 [29.9%], p = 0.014). In multivariable analysis, treatment with alteplase (OR 1.97, 95% confidence interval [CI] 0.954–1.100), lower baseline stroke volume (OR 0.965, 95% CI: 0.932–0.994), and shorter time from symptom recognition to treatment (OR 0.994, 95% CI: 0.989–0.999) were independently associated with ENI. Patients with ENI had higher rates of favorable outcome at 90-day follow-up (80.6% vs. 31.3%, p ≤ 0.001). The occurrence of ENI significantly mediated the association of treatment with a good outcome, with ENI at 24 h explaining 39.4% (12.9–96%) of the treatment effect. Conclusion: Intravenous alteplase increases the odds of ENI in patients with at least moderate stroke severity, especially when given early. In patients with large-vessel occlusion, ENI is rarely observed without thrombectomy. ENI represents a good surrogate early marker of treatment effect as more than a third of good outcome at 90 days is explained by ENI at 24 h.