None of the SMS emulators on the PSP can play SG-1000 games with .sg attachments.

Most of them aren't particularly good, but it's the only area in with PSP emulation lags behind DS emulation. S8DS (and SMS advance) can play SG-1000 games pefectly at full speed. The SMSPlus GX port for the Wii can play them (and Colecovision games, too), but not the PSP SMSplus port.

So,can we see SG-1000 support added to one of the SMS PSP emulators some time soon? It's a very old unadvanced system (about on par with Colecovision), and most console and computer SMS emulations can play those games, but not the PSP ones for some reason.