Polycystic ovary syndrome (PCOS) is characterized by the presence of polycystic ovaries, menstrual dysfunction, infertility and biochemical and clinical hyperandrogenism and is associated with an increased prevalence of cardiometabolic risk factors and psychological problems. Despite the well-established benefits of exercise training and its recommendation as a cornerstone of PCOS management, few well-controlled randomized studies have been conducted evaluating the benefits of exercise training and specific exercise regimes in women with PCOS. From the limited studies there appears to be a beneficial effect of exercise either alone or in combination with energy restriction has shown to improve fitness, cardiovascular, hormonal, reproductive and psychological outcomes. While the addition of regular exercise to energy restriction appears to only have additional benefits for improving body composition, these greater improvements are likely to have long-term implications. While lifestyle modification including regular exercise appears to be an effective strategy for the management of overweight PCOS women, methodological limitations in the studies limit the generalizability of the findings. Future research with rigorous study designs is needed to determine specific exercise guidelines that will provide the greatest benefit for these women.