Bombyx mori doublesex (Bmdsx) functions as a double-switch gene in the final step of the sex-determination cascade in the silkworm Bombyx mori. The P-element somatic inhibitor (PSI) protein in B. mori interacts with Bmdsx pre-mRNA in CE1 as an exonic splicing silencer to promote male-specific splicing of Bmdsx. However, the character of the interaction between BmPSI and Bmdsx pre-mRNA remains unclear. Electrophoretic mobility shift assay (EMSA) results showed that the four KH_1 motifs in BmPSI are all essential for the binding, especially the former two KH_1 motifs. Three active sites (I116, L127, and IGGI) in the KH_1 motif were found to be necessary for the binding through EMSA, circular dichroism (CD) spectroscopy, and isothermal titration calorimetry (ITC). The PSI homologous protein in S. litura (SlPSI) was purified and the binding of SlPSI and CE1 was verified. Compared with BmPSI, the mutant SlPSI proteins of I116 and IGGI lost their ability to bind to CE1. In conclusion, the binding of PSI and dsx pre-mRNA are generally conserved in both B. mori and S. litura. These findings provide clues for sex determination in Lepidoptera.