In our work, the associations of GWAS (genome-wide associative studies) impact for sex-hormone-binding globulin (SHBG)-level SNPs with the risk of breast cancer (BC) in the cohort of Caucasian women of Russia were assessed. The work was performed on a sample of 1498 women (358 BC patients and 1140 control (non BC) subjects). SHBG correlated in previously GWAS nine polymorphisms such as rs780093 GCKR, rs17496332 PRMT6, rs3779195 BAIAP2L1, rs10454142 PPP1R21, rs7910927 JMJD1C, rs4149056 SLCO1B1, rs440837 ZBTB10, rs12150660 SHBG, and rs8023580 NR2F2 have been genotyped. BC risk effects of allelic and non-allelic SHBG-linked gene SNPs interactions were detected by regression analysis. The risk genetic factor for BC developing is an SHBG-lowering allele variant C rs10454142 PPP1R21 ([additive genetic model] OR = 1.31; 95%CI = 1.08–1.65; pperm = 0.024; power = 85.26%), which determines 0.32% of the cancer variance. Eight of the nine studied SHBG-related SNPs have been involved in cancer susceptibility as part of nine different non-allelic gene interaction models, the greatest contribution to which is made by rs10454142 PPP1R21 (included in all nine models, 100%) and four more SNPs—rs7910927 JMJD1C (five models, 55.56%), rs17496332 PRMT6 (four models, 44.44%), rs780093 GCKR (four models, 44.44%), and rs440837 ZBTB10 (four models, 44.44%). For SHBG-related loci, pronounced functionality in the organism (including breast, liver, fibroblasts, etc.) was predicted in silico, having a direct relationship through many pathways with cancer pathophysiology. In conclusion, our results demonstrated the involvement of SHBG-correlated genes polymorphisms in BC risk in Caucasian women in Russia.