We study the variant of the Euclidean Traveling Salesman problem where instead of a set of points, we are given a set of lines as input, and the goal is to find the shortest tour that visits each line. The best known upper and lower bounds for the problem in $\mathbb{R}^d$, with $d\ge 3$, are $\mathrm{NP}$-hardness and an $O(\log^3 n)$-approximation algorithm which is based on a reduction to the group Steiner tree problem. We show that TSP with lines in $\mathbb{R}^d$ is APX-hard for any $d\ge 3$. More generally, this implies that TSP with $k$-dimensional flats does not admit a PTAS for any $1\le k \leq d-2$ unless $\mathrm{P}=\mathrm{NP}$, which gives a complete classification of the approximability of these problems, as there are known PTASes for $k=0$ (i.e., points) and $k=d-1$ (hyperplanes). We are able to give a stronger inapproximability factor for $d=O(\log n)$ by showing that TSP with lines does not admit a $(2-ε)$-approximation in $d$ dimensions under the unique games conjecture. On the positive side, we leverage recent results on restricted variants of the group Steiner tree problem in order to give an $O(\log^2 n)$-approximation algorithm for the problem, albeit with a running time of $n^{O(\log\log n)}$.