Simple Summary The welfare of piglets is a major concern for the pig industry. Despite a large body of knowledge regarding piglets welfare, only a few specific protocols to assess welfare have been proposed for suckling piglets. Consequently, there is limited implementation of monitoring of piglets welfare during the nursery phase. Therefore, the present study tested the ability of a new protocol regarding the identification of the main welfare issues in suckling piglets and their relationship to management conditions. This pilot study involved 134 litters from two farms, with a total of 1608 piglets assessed at the age of 7 and 20 days. In both farms, some litters were tail docked, while others were left undocked. The welfare parameters consisted of behavioural, lesion and health measures. The results showed that the main issues were represented by lesions in the front area of the body, probably the consequence of teat competition due to repeated cross-fostering, and lack of appropriate milk supplementation. Non-aggressive lesions and health conditions were mainly related to housing conditions such as light and pen and nest temperatures. Tail docking did not influence lesions or behaviour; however, tail-docked piglets showed high scores in the indicators of a negative emotional state. Abstract Piglets experience welfare issues during the nursery phase. This pilot study aimed to test a protocol for identifying the main welfare issues in suckling piglets and to investigate relationships among animal-based indicators and management conditions. Litters (n = 134), composed of undocked and tail-docked piglets, were assessed at two farms. After birth, observations were made at the age of 7 days and 20 days. At each observation, housing conditions (HCs) were measured, and 13 animal-based indicators, modified from Welfare Quality, Classyfarm, Assurewel and others introduced ex novo, were recorded. A generalized linear mixed model was used, considering animal-based indicators as dependent variables and farm, piglets’ age, tail docking and HCs as independent variables. The main welfare issues were lesions of the limb (32.6%) and the front area of the body (22.8%), a poor body condition score (BCS) (16.1%), ear lesions (15.5%), and tail lesions (9.7%). Negative social behaviour (e.g., fighting and biting) represented 7.0% of the active behaviour, with tail biting observed in 8.7% of the piglets. While lesions on the front areas of the body were mostly associated with the farm, tail lesions, low BCS, tear staining, and diarrhoea were associated with light and nest temperature ( p < 0.05). In particular, tail biting increased with scarce light ( p = 0.007). Tail docking did not influence any animal-based indicator except for tear staining which was higher in the tail-docked as compared to the undocked piglets ( p = 0.05), increasing awareness on this practice as a source of negative emotion in piglets. The protocol tested may be a promising tool for assessing on-farm piglets’ welfare.