Background: Up to 40% of women with atypical endometrial hyperplasia (AEH) can reveal endometrial cancer (EC) at hysterectomy. The pre-operative endometrial sampling method (ESM) and some independent cancer predictors may affect this outcome. The present study aimed to compare the rate of EC at hysterectomy in women with AEH undergoing dilation and curettage (D&C), hysteroscopically-guided biopsy (HSC-bio), or hysteroscopic endometrial resection (HSC-res). The secondary outcome was to compare the reliability of ESMs in women showing independent variables associated with EC. Methods: Two-hundred-and-eight consecutive women with AEH and undergoing hysterectomy between January 2000 and December 2017 were analyzed retrospectively. Based on pre- and post-test probability analysis for EC, three ESMs were compared: D&C, HSC-bio, and HSC-res. Univariate and multivariate analyses were performed to assess risk factors predicting cancer on final histology. Finally, the patient’s characteristics were compared between the three ESM groups. Results: D&C and HSC-bio included 75 women in each group, while HSC-res included 58 women. Forty-nine women (23.6%) revealed cancer at hysterectomy (pre-test probability). Post-test probability analysis showed that HSC-res had the lowest percentage of EC underestimation: HSC-res = 11.6%; HSC-bio = 19.5%; D&C = 35.3%. Patient characteristics showed no significant differences between the three ESMs. Multivariate analysis showed that body mass index ≥40 (Odds Ratio (OR) = 19.75; Confidence Intervals (CI) 2.193–177.829), and age (criterion > 60 years) (OR = 1.055, CI 1.002–1.111) associated significantly with EC. In women with one or both risk factors, post-test probability analysis showed that HSC-res was the only method with a lower EC rate at hysterectomy compared to a pre-test probability of 44.2%: HSC-res = 19.96%; HSC-bio = 53.81%; D&C = 63.12%. Conclusions: HSC-res provided the lowest rate of EC underestimation in AEH, also in women showing EC predictors. These data may be considered for better diagnostic and therapeutic planning of AEH.