SGMII, MDIO and link training
I don't know the specific PHY (now that I think of it, you don't even mention which PHY you have) and cannot tell you if these apply to your case. But from my experience from other PHYs I can tell you these:

There are normally both of these methods supported to configure a link between PHY and MAC. Either you have to provide every necessary parameter from the MAC to the PHY over the MDIO interface, or you configure both sides in auto-configuration (usually this is by default done at the PHY after power-up) over SGMII and the two sides automatically exchange information and agree on a configuration (meaning speed, full-duplex etc.).