Question about Sony Ps-Hx500

A somewhat difficult question to answer, because who has exactly the two devices at home?
(Is the SA-PMX94 possibly the SC-PMX94?).

The record player can be connected to an audio device; the preamplifier is integrated in the record player.
With the units switched off, connect the supplied phono cable (cinch) to the "AUX" sockets of the audio device and the turntable.
(white = left channel, red = right channel) and set the "Line/Phono" switch of the record player to "Line".
(Attention: DO NOT use the USB socket to connect to the audio device).
This is how it works for me; I can really recommend the record player.

Yes, it's easy with a cinch stereo cable, as the phono preamplifier is already integrated in the Sony.