BACKGROUND Dyslipidemia and type 2 diabetes mellitus (T2DM) are chronic conditions with substantial public health implications. Effective management of lipid metabolism in patients with T2DM is critical. However, there has been insufficient attention given to the relationship between thyroid hormone sensitivity and dyslipidemia in the T2DM population, particularly concerning non-high-density lipoprotein cholesterol (non-HDL-C). AIM To clarify the association between thyroid hormone sensitivity and dyslipidemia in patients with T2DM. METHODS In this cross-sectional study, thyroid hormone sensitivity indices, the thyroid feedback quantile-based index (TFQI), the thyroid-stimulating hormone index (TSHI), the thyrotrophic T4 resistance index (TT4RI), and the free triiodothyronine (FT3)/free thyroxine (FT4) ratio were calculated. Logistic regression analysis was performed to determine the associations between those composite indices and non-HDL-C levels. Random forest variable importance and Shapley Additive Explanations (SHAP) summary plots were used to identify the strength and direction of the association between hyper-non-HDL-C and its major predictor. RESULTS Among the 994 participants, 389 (39.13%) had high non-HDL-C levels. Logistic regression analysis revealed that the risk of hyper-non-HDL-C was positively correlated with the TFQI (OR: 1.584; 95%CI: 1.088-2.304; P = 0.016), TSHI (OR: 1.238; 95%CI: 1.034-1.482; P = 0.02), and TT4RI (OR: 1.075; 95%CI: 1.006-1.149; P = 0.032) but was not significantly correlated with the FT3/FT4 ratio. The relationships between composite indices of the thyroid system and non-HDL-C levels differed according to sex. An increased risk of hyper-non-HDL-C was associated with elevated TSHI levels in men (OR: 1.331; 95%CI: 1.003-1.766; P = 0.048) but elevated TFQI levels in women (OR: 2.337; 95%CI: 1.4-3.901; P = 0.001). Among the analyzed variables, the average SHAP values were highest for TSHI, followed by TT4RI. CONCLUSION Impaired sensitivity to thyroid hormones was associated with high non-HDL-C levels in patients with T2DM.