This study is aimed at investigating the period-luminosity relation of SX Phoenicis (SX Phe) pulsators in Galactic globular clusters (GGCs) and Local Group dwarf galaxies. We verify isochrone-fitting distances of 46 GGCs by fitting their main sequences to a carefully chosen set of nearby, unevolved subdwarfs. We find that the difference between cluster distances obtained via isochrone fitting by Dotter et al. and those resulting from our subdwarf fits has a mean of 0.094 mag and a standard deviation of 0.098 mag. The cluster distances from Dotter et al. are used to calibrate an SX Phe period--luminosity relation based on radial double mode pulsators. The resulting empirical period-luminosity relation, which is insensitive to the inclusion of colour and/or metallicity terms, generally agrees well with previous empirical relations as well as theoretical predictions based on single-star pulsational and evolutionary models. However, there is a subset of 'subluminous' variables identified most notably in Fornax, Carina, NGC 2419 and Omega Centauri. We explore the possibility that, at least in GGCs, they represent blue stragglers which have enhanced helium content that was either inherited from second-generation progenitors or gained as a result of the blue straggler formation process.