This study aims to analyze the relationship between macroeconomic–financial uncertainty, the Growth-at-Risk (GaR) indicator, and corporate governance in explaining financial distress, through the development of an analytical framework that links macroeconomic risks with institutional factors influencing firms’ stability. The study adopts a descriptive, analytical, and deductive approach, based on a review of recent literature and reports issued by international financial institutions, particularly the International Monetary Fund (IMF) and the Bank for International Settlements (BIS). The study finds that higher levels of macroeconomic–financial uncertainty contribute to the tightening of financial conditions and increase the risks of financial distress, while the GaR indicator provides an effective early-warning tool for identifying systemic risks. Furthermore, the findings reveal that corporate governance plays a moderating role by mitigating the transmission of economic shocks to firms and enhancing their resilience capacity. The study recommends adopting integrated models that combine macroeconomic risk indicators with corporate governance mechanisms to support financial stability and improve the prediction of financial distress.