Associations of sex steroids and their binding proteins with body shape are unclear, because waist and hip circumference are correlated strongly with body size. We defined body shape using “a body shape index” (ABSI) and hip index (HI), which are independent of weight and height by design, and examined associations in multivariable generalised linear models for the UK Biobank cohort (179,902 men, 207,444 women). Total testosterone was associated inversely with ABSI, especially in men. Free testosterone was lowest for large-ABSI-large-HI (“wide”) and highest for small-ABSI-small-HI (“slim”) in men, but lowest for small-ABSI-large-HI (“pear”) and highest for large-ABSI-small-HI (“apple”) in women. Oestradiol was associated inversely with ABSI in obese pre-menopausal women but positively with HI in obese men and post-menopausal women not using hormone replacement therapy. Sex-hormone binding globulin (SHBG) was associated inversely with ABSI but positively with HI and was lowest for “apple” and highest for “pear” phenotype in both sexes. Albumin was associated inversely with HI in women, but matched the pattern of free testosterone in obese men (lowest for “wide”, highest for “slim” phenotype). In conclusion, sex steroids and their binding proteins are associated with body shape, including hip as well as waist size, independent of body size.