Global Positioning System (GPS) tracking offers key information in the study of movement ecology of threatened species. Nevertheless, the placement of GPS devices requires animal capture and handling, which may represent a challenge to the individual’s survival after release, mainly due to capture myopathy. The Pyrenean Capercaillie (Tetrao urogallus aquitanicus) is a threatened galliform especially sensitive to handling, extremely elusive, and challenging to capture. Our goal was to adapt a sedation protocol for Pyrenean Capercaillies undergoing GPS tagging, in order to increase their welfare and safety during the procedure. From 2018 to 2021, 23 wild Pyrenean Capercaillies were captured and sedated for GPS tagging as part of a European conservation project of emblematic Pyrenean avian species. The birds received intramuscular (IM) sedation with midazolam (ranging from 1.9 mg/kg to 8.08 mg/kg) and were handled for 20 to 40 min. Sedation was reversed with flumazenil (0.1 mg/mL IM). The sedated capercaillies were less responsive to stimuli (i.e., closed eyes and recumbency), showing discrete to no response to handling (i.e., placement of the GPS device, physical examination, cloacal temperature measurement, or reflex tests). Such response was compared in birds with sedation doses above and below the average dose (5.17 mg/kg). Only one clinical sign showed statistically significant differences between the two groups (“open-mouth breathing” sign, p = 0.02). A mortality rate of 4.35% was registered (one individual died during handling). Sedation facilitated the handling of the birds and faster interventions in the field, without increasing mortality when compared to handling without sedation. Therefore, sedation was shown to be a useful tool to reduce stress related to capture and handling of the threatened Pyrenean Capercaillie.