The primary aim of this study was to compare the prevalence of subclinical hypothyroidism (SCH) using two different cut-off levels for TSH values (≥2.5 mIU/L versus ≥4.1 mIU/L). The secondary objective was to analyze the clinical-biochemical characteristics in women with and without SCH. This was a retrospective cross-sectional study. In total, 1496 Mexican women with infertility were included: Group 1, women with TSH levels ranging between 0.3 and 2.49 mIU/L, n = 886; Group 2, women with TSH between 2.5 and 4.09 mIU/L, n = 390; and Group 3, women with TSH ≥4.1 mIU/L n = 220. SCH prevalence was 40.7% (CI 95%: 38.3–43.3%) with TSH cut-off ≥ 2.5 mIU/L, and 14.7% (CI 95%: 12.7–16.5%) with TSH cut-off ≥ 4.1 mIU/L, (p = 0.0001). The prevalence of overweight was higher in Group 2 than in Groups 1 and 3. Thyroid autoimmunity, obesity and insulin resistance were higher in Group 3 than in Group 1 (p < 0.05). No other differences were observed between groups. Conclusions: The prevalence of SCH in our selected patients increased almost three times using a TSH cut-off ≥ 2.5 mIU/L compared with a TSH cut-off ≥ 4.1 mIU/L. Women with TSH ≥4.1 mIU/L compared with TSH cut-off ≤ 2.5 mIU/L more often presented with obesity, thyroid autoimmunity and insulin resistance.