This large, multicenter, retrospective cohort study including onco-hematological neutropenic patients with Pseudomonas aeruginosa bloodstream infection (PABSI) found that among 1213 episodes, 411 (33%) presented with septic shock. The presence of solid tumors (33.3% vs. 20.2%, p < 0.001), a high-risk Multinational Association for Supportive Care in Cancer (MASCC) index score (92.6% vs. 57.4%; p < 0.001), pneumonia (38% vs. 19.2% p < 0.001), and infection due to multidrug-resistant P. aeruginosa (MDRPA) (33.8% vs. 21.1%, p < 0.001) were statistically significantly higher in patients with septic shock compared to those without. Patients with septic shock were more likely to receive inadequate empirical antibiotic therapy (IEAT) (21.7% vs. 16.2%, p = 0.020) and to present poorer outcomes, including a need for ICU admission (74% vs. 10.5%; p < 0.001), mechanical ventilation (49.1% vs. 5.6%; p < 0.001), and higher 7-day and 30-day case fatality rates (58.2% vs. 12%, p < 0.001, and 74% vs. 23.1%, p < 0.001, respectively). Risk factors for 30-day case fatality rate in patients with septic shock were orotracheal intubation, IEAT, infection due to MDRPA, and persistent PABSI. Therapy with granulocyte colony-stimulating factor and BSI from the urinary tract were associated with improved survival. Carbapenems were the most frequent IEAT in patients with septic shock, and the use of empirical combination therapy showed a tendency towards improved survival. Our findings emphasize the need for tailored management strategies in this high-risk population.