Abstract Background There are observational data suggesting an inverse association between circulating concentrations of sex hormone binding globulin (SHBG) and risk of postmenopausal breast cancer. However, causality is uncertain and few studies have investigated this association by tumour receptor status. We aimed to investigate these associations under the causal framework of Mendelian randomization (MR). Methods We used summary association estimates extracted from published genome-wide association study (GWAS) meta-analyses for SHBG and breast cancer, to perform two-sample MR analyses. Summary statistics were available for 122 977 overall breast cancer cases, of which 69 501 were estrogen receptor positive (ER+ve) and 21 468 were ER-ve, and 105 974 controls. To control for potential horizontal pleiotropy acting via body mass index (BMI), we performed multivariable inverse-variance weighted (IVW) MR as the main analysis, with the robustness of this approach further tested in sensitivity analyses. Results The multivariable IVW MR analysis indicated a lower risk of overall (odds ratio [OR]: 0.94; 95% confidence interval [CI]: 0.90, 0.98; P: 0.006) and ER+ve (OR: 0.92; 95% CI: 0.87, 0.97; P: 0.003) breast cancer, and a higher risk of ER-ve disease (OR: 1.09; 95% CI: 1.00, 1.18; P: 0.047) per 25 nmol/L higher SHBG levels. Sensitivity analyses were consistent with the findings of the main analysis. Conclusions We corroborated the previous literature evidence coming from observational studies for a potentially causal inverse association between SHBG concentrations and risk of ER+ve breast cancer, but our findings also suggested a potential novel positive association with ER-ve disease that warrants further investigation, given the low prior probability of being true.