  We introduce the notion of $T$-stability for torsion-free Higgs sheaves as a
natural generalization of the notion of $T$-stability for torsion-free coherent
sheaves over compact complex manifolds. We prove similar properties to the
classical ones for Higgs sheaves. In particular, we show that only saturated
flags of torsion-free Higgs sheaves are important in the definition of
$T$-stability. Using this, we show that this notion is preserved under
dualization and tensor product with an arbitrary Higgs line bundle. Then, we
prove that for a torsion-free Higgs sheaf over a compact K\"ahler manifold,
$\omega$-stability implies $T$-stabilty. As a consequence of this we obtain the
$T$-semistability of any reflexive Higgs sheaf with an admissible
Hermitian-Yang-Mills metric. Finally, we prove that $T$-stability implies
$\omega$-stability if, as in the classical case, some additional requirements
on the base manifold are assumed. In that case, we obtain the existence of
admissible Hermitian-Yang-Mills metrics on any $T$-stable reflexive sheaf.
