Background: Drug-coated balloons (DCBs) are receiving increasing attention in interventional therapy for coronary artery disease. However, evidence regarding their application in acute myocardial infarction (AMI), particularly in high-risk AMI patients, is limited, leading to significant clinical concerns. This study aims to compare the efficacy and safety of DCBs versus standard drug-eluting stents (DESs) in AMI patients and explore their efficacy differences in patients with ST-segment elevation myocardial infarction (STEMI), non-ST-segment elevation myocardial infarction (NSTEMI), and different risk stratifications. Methods: A single-center, retrospective cohort study was conducted, involving 86 patients who underwent percutaneous coronary intervention (PCI) for AMI between January 2023 and July 2025. Patients were divided into a DCB group (n = 26) and a DES group (n = 60) based on the treatment modality. According to the Killip classification of myocardial infarction at admission, patients were categorized into a low-risk group (Killip Class I, n = 68) and a high-risk group (Killip Classes II–IV, n = 18). The primary efficacy endpoint was targeting lesion restenosis as shown by coronary angiography follow-up (6–12 months). Safety endpoints included acute in-stent thrombosis during hospitalization (ARC criteria) and long-term coronary slow flow. A multivariate logistic regression model was used to evaluate the associations between intervention modality, risk stratification, infarction type, and endpoint events, and to test for interactions. Results: The DCB and DES groups were generally balanced in terms of baseline traditional risk factors. During hospitalization, three cases (5.0%) of acute in-stent thrombosis occurred in the DES group, all requiring urgent re-intervention, while no such events occurred in the DCB group (0%). Acute in-stent thrombosis formation was significantly associated with high-risk stratification (χ² test, p = 0.047). The overall restenosis rate was 22.1% (19/86). Multivariate analysis showed no statistically significant difference in restenosis risk between the intervention modalities (DCB vs. DES) (adjusted odds ratio [OR] = 1.07, 95% confidence interval [CI] 0.27–4.21, p = 0.920), and no statistical differences were found in subgroups based on risk stratification (p = 0.382) or infarction type (p = 0.484). There was a trend toward increased restenosis risk in high-risk patients (OR = 12.34), but the difference was not statistically significant (95% CI 0.28–542.75, p = 0.193). The incidence of long-term coronary slow flow was significantly higher in the DES group than in the DCB group (16.7% vs. 3.8%, Fisher’s exact test, p = 0.048), with a statistically significant difference. Conclusion: For AMI patients, DCBs demonstrate similar efficacy to DESs in preventing restenosis. However, DESs are associated with a higher risk of acute thrombosis during hospitalization, especially in high-risk patients, and a higher risk of long-term slow coronary flow. DCBs exhibit superior perioperative and long-term safety compared to DESs. Given the limited sample size, particularly the small number of high-risk patients and those treated with DCBs, the conclusions require validation through larger-scale prospective studies.