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 genome‐wide 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 genome‐wide 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 × 10−10), 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 7 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. While SHBG has been implicated in preventing and screening aging‐related diseases, our findings support its etiological role in osteoporosis.This article is protected by copyright. All rights reserved.