We observed that sex hormones exhibited many genetic correlations with psychiatric disorders including SHBG, which remained statistically significant after utilizing a Bonferroni threshold of significance to account for multiple testing (p < 5.56 × 10−4); these include negative genetic correlations with ADHD (p = 3.95 × 10−12) and major depressive disorder (p = 4.67 × 10−5) and positive genetic correlations with anorexia nervosa (p = 2.86 × 10−12) and schizophrenia (p = 2.00 × 10−4) (Figures 2 and 3). Here, SHBG is linked to major depressive disorder.