Transbronchial cryobiopsy (TBCB) is being studied in the diagnosis of peripheral lung lesions; however, there are only a few clinical studies around the world. The aim of our study was to evaluate the diagnostic values and safety of transbronchial cryobiopsy for radiologically suspected peripheral lung cancer. The prospective clinical study was executed from September 2019 to September 2021 at a tertiary clinical centre in Lithuania. A total of 48 patients out of 102 underwent combined procedures of transbronchial forceps biopsy (TBFB) and TBCB. Diagnostic values and safety outcomes of TBFB and TBCB were analysed. The sensitivity, specificity, positive predictive value (PPV), negative predictive value (NPV) and accuracy were 72.9%, 100%, 100%, 7.7%, and 88.0% for TBFB, 85.1%, 100%, 100%, 12.5%, and 93% for TBCB, as well as 91.5%, 100%, 100%, 20.0% and 96.7% for the combined procedures, respectively, with a significantly higher accuracy for cryobiopsies compared to forceps biopsies (p < 0.05). The diagnostic values for transbronchial cryobiopsies were similar, irrespective of the radial mini probe endobronchial ultrasound (RP-EBUS) position, lesion size or bronchus sign, however, the sensitivity of the combined procedures in cases with RP-EBUS adjacent to the target was significantly higher compared to TBFB (86.2% vs. 64.3%, p = 0.016). Samples of cryobiopsies were significantly larger than forceps biopsies (34.62 mm2 vs. 4.4 mm2, p = 0.001). The cumulative diagnostic yield of transbronchial cryobiopsy was 80.0% after the second biopsy and reached a plateau of 84.1% after four biopsies. No severe bleeding, pneumothorax, respiratory failure or death was registered in our study. TBCB is a potentially safe procedure, which increases diagnostic values in diagnosing peripheral lung lesions compared to TBFB.