In this paper, we study the existence of random periodic solutions for semilinear stochastic differential equations. We identify them as solutions of coupled forward–backward infinite horizon stochastic integral equations (IHSIEs), using the “substitution theorem” of stochastic differential equations with anticipating initial conditions. In general, random periodic solutions and the solutions of IHSIEs, are anticipating. For the linear noise case, with the help of the exponential dichotomy given in the multiplicative ergodic theorem, we can identify them as the solutions of infinite horizon random integral equations (IHSIEs). We then solve a localised forward–backward IHRIE in C(R,Lloc2(Ω)) using an argument of truncations, the Malliavin calculus, the relative compactness of Wiener–Sobolev spaces in C([0,T],L2(Ω)) and Schauder's fixed point theorem. We finally measurably glue the local solutions together to obtain a global solution in C(R,L2(Ω)). Thus we obtain the existence of a random periodic solution and a periodic measure.