Carbon nanotube yarns (CNTYs) are porous hierarchical fibers that exhibit a strong property-structure relationship. The morphology and structure of dry-spun CNTYs are characterized and correlated with their quasi-static and dynamic mechanical properties. These characterizations include assessment of the CNTY homogeneity by means of Raman spectroscopy mapping, determination of linear density and porosity, atomic force microscopy, and dedicated measurements of the statistical distribution of the yarn’s diameter. Tensile testing of CNTYs yielded a specific strength of 0.21–0.34 N/tex, and a specific elastic modulus of 3.59–8.06 N/tex, depending on the gage length. While the strength is weakly sensitive to the gage length, the elastic modulus depends on the gage length. The importance of subtracting the machine compliance for the determination of the CNTY’s elastic modulus is highlighted, since the error can reach up to 28%. Dynamic mechanical analysis shows that the CNTY is a stiff material with an extraordinary high damping ratio, which increases with temperature and reaches ∼0.6 at 60 °C. In addition, the CNTY presents a frequency-stiffening behavior in the 18–48 Hz range, with storage modulus (E′) and loss modulus (E″) which increase ∼2.5 times (E′) and ∼7 times (E″) at 48 Hz.