Individuals with metabolic syndrome (MetS) are known to have an increased risk of carcinogenesis. Human epididymis protein 4 (HE4) is a tumor marker and prognostic factor for epithelial ovarian carcinoma (EOC) patients. However, no studies have evaluated the association between MetS and HE4 levels. This study aimed to evaluate the relationship between HE4 levels and MetS in the National Health and Nutrition Examination Survey (NHANES 2001–2002). This cross-sectional analysis assessed all five components of MetS and HE4 levels in 2104 females (age ≥20 years) from the NHANES dataset. MetS was defined according to the National Cholesterol Education Program Adult Treatment Panel III (NCEP ATPIII) criteria. The analysis indicated MetS in 593 individuals, and the β coefficient of their HE4 levels was 0.097 (95% CIs, 0.028–0.166, p = 0.006). Specifically, the β coefficients of the HE4 levels of participants with 1, 2, 3, and ≥4 features of MetS were 0.072 (95% confidence interval (CI): −0.015–0.159), 0.125 (95% CI: 0.030–0.220), 0.161 (95% CI: 0.053–0.270), and 0.242 (95% CI: 0.117–0.368), respectively, and all p values were <0.001. The p-value for the trend was <0.001. There was a significant association between the presence of MetS and HE4 levels. There were positive relationships between HE4 levels and an increased number of MetS components (with 1, 2, 3, and ≥4 features of MetS, all p values <0.001). Among the MetS components, low high-density lipoprotein levels and high triglyceride levels were independently associated with HE4 levels.