Sleep problems like obstructive sleep apnea (OSA) are common in polycystic ovary syndrome (PCOS), although the underlying mechanisms are not well understood. We aimed to determine the prevalence of sleep problems, synthesise and appraise studies analysing the associations between serum sex hormones, sex hormone-binding globulin (SHBG) and sleep problems in females with PCOS. Systematic review and meta-analysis. A systematic search using MEDLINE, Embase, PsycInfo, CINAHL, Scopus, and Google Scholar was performed till 3 August 2024. Studies that examined serum sex hormones, SHBG or hyperandrogenism with sleep disorders and/or sleep disturbances in PCOS were eligible. Random effects meta-analyses of sex hormones and SHBG among females with PCOS with compared to without OSA were conducted. From 4487 screened studies, 24 were included, with nine suitable for meta-analyses. Among females with PCOS, 46.0% had OSA and 56.0% had other sleep disturbances. SHBG levels were significantly lower in women with PCOS and OSA compared to those without OSA (standardised mean difference = -0.62; 95% CI = -0.82 to -0.42; I2 = 0%; 179 participants; p < 0.00001), but no differences were seen in total and free testosterone, dehydroepiandrosterone sulfate, androstenedione, and oestradiol. No significant associations between serum sex hormones, SHBG or hyperandrogenism with sleep disturbances in PCOS were observed. SHBG, rather than hyperandrogenism, may play a more important mechanistic role for OSA in PCOS, while other sleep disturbances exhibit a less severe SHBG profile. These findings enhance comprehension of underlying pathophysiology of sleep problems in PCOS. Further validation across PCOS populations is warranted.