Objectives: The dry needling of the piriformis muscle (especially in the medial region) is a challenging procedure since there is a high risk of accidentally puncturing the sciatic nerve. This study aimed to explain the variance of the deep limit of the piriformis based on anthropometric and demographic predictors potentially associated with it by exploring if clinicians can select the optimal needle length needed accurately to avoid accidental punctures of the sciatic nerve during palpation-guided dry needling interventions. Methods: An observational study was conducted that included fifty-six patients with piriformis muscle syndrome. We recorded the skin-to-sciatic nerve distance at the location with greatest risk of accidental sciatic puncture (assessed with ultrasound imaging) and demographic (e.g., age, gender, height, weight and body mass index—BMI) and anthropometric (hip circumference) variables. Results: Thirty-four males (n = 34) and twenty-two females (n = 22) were analyzed. Although men presented a significantly greater hip circumference than women (p = 0.007), no skin-to-sciatic nerve distance differences were observed (p > 0.05). Correlation analyses revealed that the sciatic nerve’s depth is associated with weight, BMI and hip perimeter (all, p < 0.01) but not with age or height (p > 0.05). Due to shared variance and multicollinearity, the hip circumference was the only predictor included in the regression model, explaining 37.9% of the piriformis muscle’s deeper fascia depth variance (R2 Adjusted = 0.379). Conclusions: Although the use of landmarks and measuring the hip perimeter may result in greater dry needling accuracy and a lower risk of adverse events derived from accidental sciatic nerve puncture, ultrasound guidance is encouraged as is the safest method for avoiding serious adverse events.