Background: Several complications can contribute to the risk of shock during the chronic total occlusion (CTO) percutaneous coronary intervention (PCI) procedure. However, some patients that develop shock do not exhibit any apparent complications, and few studies to date have discussed the risk of unexplained perioperative shock in patients undergoing CTO PCI. Accordingly, this study was designed with the goal of defining perioperative risk factors linked to the odds of unexplained shock during CTO PCI. Methods: In total, this study analyzed data from 924 patients that underwent CTO PCI without any in-hospital complications from January 2016–August 2021. Cardiologists collected data pertaining to patient clinical characteristics, laboratory findings, angiographic findings, and procedural characteristics. Patients were separated into two groups based upon whether or not they experienced perioperative shock. The relationship between specific variables and perioperative shock incidence was assessed via a multivariable stepwise logistic regression approach. A risk-scoring nomogram was then designed for use as a tool to guide patient risk assessment efforts during PCI procedural planning. Results: Overall, 4.8% of these patients (44/924) experienced unexplained perioperative shock. Independent predictors associated with unexplained shock during CTO PCI included baseline systolic pressure (odds ratio (OR) 0.968, 95% confidence interval (CI): 0.945–0.991), baseline heart rate (OR 1.055, 95% CI: 1.020–1.091), baseline hemoglobin (OR 0.970, 95% CI: 0.947–0.994), procedure duration (OR 1.008, 95% CI: 1.002–1.015), J-CTO score (OR 1.521, 95% CI: 1.021–2.267), and use of a retrograde approach (OR 3.252, 95% CI: 1.426–7.415). The unbiased C-index estimate was 0.859, and this model exhibited excellent calibration. Conclusions: The risk of unexplained shock is an important consideration for clinicians performing the CTO PCI procedure. These analyses revealed unexplained shock risk to be independently related to lower baseline systolic pressure, higher baseline heart rate, lower baseline hemoglobin, more procedure time, higher J-CTO score, and more use of a retrograde approach.