Background: Polycystic ovary syndrome (PCOS) is a common endocrine disorder that is characterized by menstrual irregularity and elevated serum androgens, and is often accompanied by insulin resistance. The etiology of PCOS is unknown. Lifestyle interventions and weight loss, where appropriate, remain first-line treatments for women with PCOS. Regular physical activity is recommended for women with PCOS to maintain a healthy weight and cardiovascular fitness. Purpose: To review the evidence for the impact of various exercise interventions on hormone levels in women with PCOS. Methods: A systematic review of original studies indexed in PubMed that utilized an exercise intervention in women with PCOS and reported hormone values pre- and post-intervention. Studies in which the effects of the exercise intervention could be determined were included. Results: Vigorous aerobic exercise improves insulin measures in women with PCOS. Resistance or strength training may improve androgen levels, though additional studies are warranted. Studies with yoga are limited but suggest improvements in androgens. Limited information is available on the impact of exercise on adipokines and anti-Müllerian hormone, warranting further investigation. Conclusions: Recommended guidelines for women with PCOS include vigorous aerobic exercise and resistance training to improve measures of insulin sensitivity and androgen levels.