Multivariable logistic regression analysis revealed that SHBG (OR = 1.04, 95% CI: 1.02–1.05, P < 0.001), glycated hemoglobin (OR = 1.36, 95% CI: 1.22–1.51, P < 0.001), hemoglobin (OR = 0.96, 95% CI: 0.94–0.97, P < 0.001), and non-alcoholic fatty liver disease (OR = 0.41, 95% CI: 0.23–0.73, P < 0.003) were independently associated with the malnutrition exposure risk. Here, SHBG is linked to metabolic dysfunction-associated steatotic liver disease.