The purpose of this work was to find a link between the breast cancer (BC)-risk effects of sex hormone-binding globulin (SHBG)-associated polymorphisms and obesity. The study was conducted on a sample of 1498 women (358 BC; 1140 controls) who, depending on the presence/absence of obesity, were divided into two groups: obese (119 BC; 253 controls) and non-obese (239 BC; 887 controls). Genotyping of nine SHBG-associated single nucleotide polymorphisms (SNP)—rs17496332 PRMT6, rs780093 GCKR, rs10454142 PPP1R21, rs3779195 BAIAP2L1, rs440837 ZBTB10, rs7910927 JMJD1C, rs4149056 SLCO1B1, rs8023580 NR2F2, and rs12150660 SHBG—was executed, and the BC-risk impact of these loci was analyzed by logistic regression separately in each group of obese/non-obese women. We found that the BC-risk effect correlated by GWAS with the SHBG-level polymorphism rs10454142 PPP1R21 depends on the presence/absence of obesity. The SHBG-lowering allele C rs10454142 PPP1R21 has a risk value for BC in obese women (allelic model: CvsT, OR = 1.52, 95%CI = 1.10–2.11, and pperm = 0.013; additive model: CCvsTCvsTT, OR = 1.71, 95%CI = 1.15–2.62, and pperm = 0.011; dominant model: CC + TCvsTT, OR = 1.95, 95%CI = 1.13–3.37, and pperm = 0.017) and is not associated with the disease in women without obesity. SNP rs10454142 PPP1R21 and 10 proxy SNPs have adipose-specific regulatory effects (epigenetic modifications of promoters/enhancers, DNA interaction with 51 transcription factors, eQTL/sQTL effects on five genes (PPP1R21, RP11-460M2.1, GTF2A1L, STON1-GTF2A1L, and STON1), etc.), can be “likely cancer driver” SNPs, and are involved in cancer-significant pathways. In conclusion, our study detected an obesity-dependent association of the rs10454142 PPP1R21 with BC in women.