Sex hormone-binding globulin (SHBG) is the high-affinity binding protein for androgens and estrogens. According to the free hormone hypothesis, SHBG modulates the bioactivity of sex steroids by limiting their diffusion into target tissues. Still, the in vivo physiological role of circulating SHBG remains unclear, especially since mice and rats lack circulating SHBG post-natally. To test the free hormone hypothesis in vivo, we examined total and free sex steroid concentrations and bioactivity on target organs in mice expressing a human SHBG transgene. SHBG increased total androgen and estrogen concentrations via hypothalamic-pituitary feedback regulation and prolonged ligand half-life. Despite markedly raised total sex steroid concentrations, free testosterone was unaffected while sex steroid bioactivity on male and female reproductive organs was attenuated. This occurred via a ligand-dependent, genotype-independent mechanism according to in vitro seminal vesicle organ cultures. These results provide compelling support for the determination of free or bioavailable sex steroid concentrations in medicine, and clarify important comparative differences between translational mouse models and human endocrinology.