It remains unclear whether endogenous sex hormones (ESH) are associated with risk of type 2 diabetes (T2D) in women. Data of 3,117 postmenopausal women participants of the Rotterdam Study were analyzed to examine whether ESH and sex hormone–binding globulin (SHBG) were associated with the risk of incident T2D. Additionally, we performed a systematic review and meta-analysis of studies assessing the prospective association of ESH and SHBG with T2D in women. During a median follow-up of 11.1 years, we identified 384 incident cases of T2D in the Rotterdam Study. No association was observed between total testosterone (TT) or bioavailable testosterone (BT) with T2D. SHBG was inversely associated with the risk of T2D, whereas total estradiol (TE) was associated with increased risk of T2D. Similarly, in the meta-analysis of 13 population-based prospective studies involving more than 1,912 incident T2D cases, low levels of SHBG and high levels of TE were associated with increased risk of T2D, whereas no associations were found for other hormones. The association of SHBG with T2D did not change by menopause status, whereas the associations of ESH and T2D were based only in postmenopausal women. SHBG and TE are independent risk factors for the development of T2D in women.