Introduction: Direct comparisons of both short-term and long-term auxological outcomes of growth hormone therapy (GHT) between growth hormone deficiency (GHD) and small for gestational age (SGA) are scarce. Methods: One hundred three patients with GHD and 53 patients with SGA treated at our tertiary center were investigated. Short-term and long-term outcomes were compared between these groups using multivariable linear regression models with adjustment for age, sex, and height at therapy start, also allowing for sex-specific group comparisons. Results: Mean delta height standard deviation scores (SDS) after 1 year of treatment were significantly higher in GHD (0.90, CI: 0.82–0.99) compared to SGA (0.67, CI: 0.54–0.79) (p = 0.003) with no sex difference. As expected, the mean increase in height SDS at final height (FH) was significantly higher in GHD (2.21, CI: 2.00–2.42) compared to SGA (1.05, CI: 0.75–1.35) (p < 0.001), leading to a target height corrected FH of −0.39 SDS (CI: −0.62 to −0.15) in GHD and −1.22 SDS (CI: −1.57 to −0.87) in SGA (p < 0.001). Girls with GHD had a better long-term outcome, as did boys with SGA when compared to the respective opposite sex. The cut-off of delta height of 0.5 SDS during the first year had a low sensitivity to detect long-term non-responders. We found a relation between short-term and long-term outcomes in GHD but not in SGA (adjusted R2 = 0.66 vs. 0.01). Conclusion: In contrast to GHD, we observed practically no relationship between 1st-year and long-term outcomes in SGA patients treated with GH.