Nowadays in many fields of medicine, prognostic scores are used to predict the outcome for individual patients. In chronic myeloid leukemia (CML), the Sokal, the Euro, and the EUTOS score are established prognostic scores which were addressed by the CML management recommendations of the European LeukemiaNet. This review provides a general definition of prognostic scores and explains their meaning. Main differences between the Sokal, the Euro, and the EUTOS score are highlighted. Due to the therapeutic success of tyrosine kinase inhibitors, the proportion of patients with causes of death unrelated to CML is growing. To assess the potential of a drug to prevent dying of CML, causes of death unrelated to CML need to be considered as competing risks. Supported by data of patients randomized to imatinib-based treatments within the German CML study IV, this review also explores the prognostic performance of the established scores if the primary event is death due to CML only and explains the implicit statistical particularities when treating other causes of death as competing risks. In the presence of competing risks, the application of both the cause-specific hazard model and the subdistribution hazard model is recommended when investigating the influence of prognostic factors on the event of interest. Another purpose of this work is to foster the ability of hematologists to interpret the outcome of a cause-specific hazard and a subdistribution hazard model and to understand the differences between them.