Although the impact of sex hormones on bone metabolism is well-documented, effect of their primary modulator, sex hormone-binding globulin (SHBG), remains inconclusive. This study aims to elucidate the genetic overlap between SHBG and heel estimated bone mineral density (eBMD), a widely-accepted tool for osteoporosis management and fracture risk assessment. Using summary statistics from large-scale genomewide association studies conducted for SHBG (N = 370,125), SHBG adjusted for body mass index (SHBGa, N = 368,929), and eBMD (N = 426,824), a comprehensive genomewide cross-trait approach was performed to quantify global and local genetic correlations, identify pleiotropic loci, and infer causal associations. A significant overall inverse genetic correlation was found for SHBG and eBMD (rg = −0.11, p = 3.34 × 10⁻¹°), which was further supported by the significant local genetic correlations observed in 11 genomic regions. Cross-trait meta-analysis revealed 219 shared loci, of which seven were novel. Notably, four novel loci (rs6542680, rs8178616, rs147110934, and rs815625) were further demonstrated to colocalize. Mendelian randomization identified a robust causal effect of SHBG on eBMD (beta = −0.22, p = 3.04 × 10⁻¹³), with comparable effect sizes observed in both men (beta = −0.16, p = 1.99 × 10⁻⁶) and women (beta = −0.19, p = 2.73 × 10⁻⁹). Replacing SHBG with SHBGa, the observed genetic correlations, pleiotropic loci and causal associations did not change substantially. Our work reveals a shared genetic basis between SHBG and eBMD, substantiated by multiple pleiotropic loci and a robust causal relationship. Although SHBG has been implicated in preventing and screening aging-related diseases, our findings support its etiological role in osteoporosis.