The study examined the relationship between total cholesterol–high-density lipoprotein–glucose (CHG) index and risk of metabolic steatotic liver disease (MASLD) in 6,274 Chinese adults in a retrospective cohort analysis from 2018–2023. Multivariable Cox regression showed that for every 0.1 unit increase in CHG, the risk of MASLD is higher with a HR of 1.055 (95% CI: 1.030–1.080). A non-linear association was found with an inflection point at CHG = 5.42; to the left of this point is HR 1.088 (95% CI: 1.055–1.122), to the right HR 0.969 (95% CI: 0.912–1.029). ROC analysis demonstrated that CHG for predicting 5-year MASLD risk has an AUC of 0.678, which is better than individual indicators. CHG has comparable predictive performance to TyG and FLI with no statistically significant differences; in the 2–5-year period, the AUC of CHG is 0.656–0.678. Elevated CHG is independently associated with a higher risk of MASLD and may serve as a marker for early identification. Reducing CHG below 5.42 can significantly reduce the risk of MASLD.