OBJECTIVE Early puberty is associated with increased risk of subsequent cardiovascular disease. Low sex hormone–binding globulin (SHBG) levels are a feature of early puberty and of conditions associated with increased cardiovascular risk. The aim of the present study was to evaluate SHBG as a predictor of glucose metabolism and metabolic risk during puberty. RESEARCH DESIGN AND METHODS This was a cross-sectional study on 132 healthy Caucasian children and adolescents evaluated by an oral glucose tolerance test, a dual-energy X-ray absorptiometry scan, direct oxygen uptake measurement during cycle ergometry, and fasting blood samples. RESULTS SHBG levels declined with advancement of puberty in both boys (P < 0.001) and girls (P = 0.019). SHBG was significantly positively associated with insulin sensitivity in boys (P < 0.001) and girls (P < 0.001). In addition, SHBG was a strong predictor of insulin sensitivity (P = 0.001) and the only predictor of the disposition index (P = 0.031) after adjustment for puberty, fat mass, and aerobic fitness. SHBG was significantly negatively associated with metabolic risk (P = 0.032) and with hypersensitive C-reactive protein levels (P = 0.030) after adjustment for relevant confounders. CONCLUSIONS SHBG was a strong predictor of insulin sensitivity and metabolic risk during puberty. Thus, we hypothesize that SHBG integrates the marked changes in glucose metabolism and body composition that occur during the pubertal transition.