Human sex hormone‐binding globulin (SHBG) transports sex steroids in blood and regulates their access to target tissues. In biological fluids, SHBG exists as a homodimer and each monomer comprises two laminin G‐like domains (G domains). The crystal structure of the N‐terminal G domain of SHBG in complex with 5α‐dihydrotestosterone at 1.55 Å resolution reveals both the architecture of the steroid‐binding site and the quaternary structure of the dimer. We also show that G domains have jellyroll topology and are structurally related to pentraxin. In each SHBG monomer, the steroid intercalates into a hydrophobic pocket within the β‐sheet sandwich. The steroid and a 20 Å distant calcium ion are not located at the dimer interface. Instead, two separate steroid‐binding pockets and calcium‐binding sites exist per dimer. The structure displays intriguing disorder for loop segment Pro130–Arg135. In all other jellyroll proteins, this loop is well ordered. If modelled accordingly, it covers the steroid‐binding site and could thereby regulate access of ligands to the binding pocket.