Besides its known function as a transport protein for testosterone and other steroid hormones, sex hormone–binding globulin (SHBG) is a biomarker associated with many adverse health effects. The aim of this study was to investigate the association of physical activity with SHBG serum levels in older adults. The physical activity and SHBG values for 1,259 older adults (43.4% female; 56.6% male) with a mean age of 75.6 ± 6.5 years were included in the analysis. The average daily walking duration was 104.2 ± 40.4 (mean ± SD) min. A positive dose–response relationship of daily walking duration with quartiles of SHBG was seen after adjustment for age, sex, history of cardiovascular diseases, diabetes, smoking, γ-glutamyl transferase, and C-reactive protein (p for trend = .010). However, this relationship disappeared after adjustment for body mass index (p for trend = .977). Body mass index seems to be an important determinant of SHBG and a possible confounding factor in the relationship of physical activity and SHBG.