It was unclear whether sex hormone-binding globulin (SHBG) was a circulating biomarker of Alzheimer’s disease (AD). We tested the cross-sectional relationships between plasma SHBG and cerebrospinal fluid (CSF) AD biomarkers in 707 non-demented adults. Next, the influences of plasma SHBG on dynamic changes of CSF Aβ42, hippocampus volume, brain metabolism, and cognition were explored in 448 non-demented adults from the Alzheimer’s disease Neuroimaging Initiative (ADNI). Finally, the predictive and diagnostic values of plasma SHBG in AD were explored. A positive correlation was found between SHBG levels in plasma and CSF. Individuals with higher plasma SHBG levels had lower CSF Aβ42 (p < 0.005), after adjusting for age, gender, education, APOE4 allele, and cognitive scores. Though no significant difference of plasma SHBG was observed between mild AD dementia and healthy normal, plasma SHBG could contribute to accelerated rates of CSF Aβ42 decrease (p < 0.0005), decline in brain metabolism (p < 0.05), and hippocampus atrophy (p < 0.01), cognitive decline (p < 0.01), as well as higher risk of AD dementia (p < 0.05). These findings indicated plasma SHBG could be a prodromal biomarker to predict disease progression in AD.