Windows 10, Android Studio v3.6 and v4.0.
This one drove me nuts! I had the same problem - my SDK seemed to be corrupt so I did a full Uninstall (v3.6) and Install (4.0) of Android Studio and when Android Studio started up I got the same message Android SDK is missing.
The SDK Manager in Tools wasn't working.
I went to the link and there was nothing to download the SDK. So I installed the file which looked a bit like the SDK, commandlinetools-win-6514223_latest.zip, unzipped, and then tried to use the missing SDK dialog to include it in AS, and no joy.
BUT - I noticed that after an uninstall and fresh install Android Studio still came up with the last project I was working on so I guessed it must be something in the windows registry (rather than AS settings). I closed that project and AS suddenly popped up a dialog to install the SDK!
After a big download and install, Android Studio returned with the SDK (and SDK manager) all functioning!
So - just startup Android Studio and then close the current project (File -> Close Project)!
How I did a complete re-install.
Uncheck the "Keep Settings" (or similar) option in the Uninstall dialog, but export your settings first (File -> Export Settings). I found it easy to: Export settings; Complete Uninstall; Download and Install; Import Settings;. But, or course, there were several massive downloads. Still don't know why the last open file came up after the fresh install. It's probably in the registry, so, if there are still problems then you'll have to clear AS from the registry as well. Which sounds painful.