Sex hormone-binding globulin (SHBG) is associated with levels of total testosterone (total-T), and both total-T and SHBG are associated with obesity. We aimed to clarify the nature of the relationship between testosterone and SHBG and improve our understanding of their relationships with obesity. We hypothesize that the hypothalamic-pituitary-gonadal axis contributes to the homeostasis of testosterone by increasing the production of gonadal testosterone through a feedback mechanism that might operate differently at different pubertal stages. We investigated the dynamics of the relationship between SHBG, total-T, and body mass index (BMI) throughout puberty (from age 9 to 17) using longitudinal data obtained in 507 males. The directionality of this relationship was explored using polygenic scores of SHBG and total-T, and a two-sample Mendelian Randomization (MR) in male adults. Consistent with our hypothesis, we found positive relationships between SHBG and total-T at age 15 and 17 but either no relationship or a negative relationship during the earlier time points. Such shifting relationships explained age-related changes in the association between total-T and BMI. Polygenic scores of SHBG and total-T in mediation analyses and the two-sample MR in male adults suggested an effect of SHBG on total-T but also a somewhat weaker effect of total-T on SHBG. Two-sample MR also showed an effect of BMI on SHBG but no effect of SHBG on BMI. These results clarify the nature of the relationship between testosterone and SHBG during puberty and adulthood and shed new light on their possible relationship with obesity.