Background: Allogeneic hematopoietic stem cell transplantation (allo-HSCT) is a lifesaving treatment but carries a high infection risk. Diagnosing infections remains challenging due to the limited accuracy of standard biomarkers. Methods: This single-center study aimed to evaluate presepsin (PSP) and YKL-40 as infection biomarkers in febrile patients during the allo-HSCT pre-engraftment phase. Biomarker levels were prospectively measured in 61 febrile episodes from 54 allo-HSCT patients at admission, representing baseline levels, and then at Day 1, 3, 5, and 7 following fever onset. The diagnostic value was compared to that of procalcitonin (PCT). Results: PSP showed fair diagnostic value on Day 1 (AUC 0.656; 95% CI: 0.510–0.802) and Day 3 (AUC 0.698; 95% CI: 0.559–0.837). YKL-40 did not provide any significant diagnostic value across measured time points. PCT outperformed PSP and YKL-40, particularly on Day 3 (AUC 0.712; 95% CI: 0.572–0.852). When combining biomarkers, the best model for predicting infection used PSP > 3.144 ng/mL and PCT > 0.28 μg/L on Day 3, resulting in R2 of about 31% (p < 0.001). Conclusions: Neither test showed sufficient discriminative power for early infection to recommend their use as individual diagnostic tools in clinical practice.