Biomarkers for predicting the risk of castration-resistant prostate cancer (CRPC) in men treated with primary androgen deprivation therapy (ADT) are lacking. We investigated whether Zinc-alpha 2 glycoprotein (AZGP1) expression in the diagnostic biopsies of men with hormone-naïve prostate cancer (PCa) undergoing primary ADT was predictive of the development of CRPC and PCa-specific mortality. The study included 191 patients who commenced ADT from 2000 to 2011. The AZGP1 expression was evaluated using immunohistochemistry and scored as high or low expression. The risks of CRPC and PCa-specific mortality were analyzed using stratified cumulative incidences and a cause-specific COX regression analysis for competing risk assessment. The median follow-up time was 9.8 (IQR: 6.1–12.7) years. In total, 94 and 97 patients presented with low and high AZGP1 expression, respectively. A low AZGP1 expression was found to be associated with a shorter time to CRPC when compared to patients with a high AZGP1 expression (HR: 1.5; 95% CI: 1.0–2.1; p = 0.03). However, the multivariable analysis demonstrated no added benefit by adding the AZGP1 expression to prediction models for CRPC. No differences for PCa-specific mortality between the AZGP1 groups were observed. In conclusion, a low AZGP1 expression was associated with a shorter time to CRPC for PCa patients treated with first-line ADT but did not add any predictive information besides well-established clinicopathological variables.