Polycystic ovary syndrome (PCOS) is a common endocrine disorder in women that is associated with an increased risk of anxiety and depression and with a lower health-related quality of life (HRQoL). PCOS is closely associated with obesity, which per se can lead to symptoms of anxiety and depression and lower HRQoL. The first-line treatment for PCOS is weight loss through lifestyle intervention, which has been shown to improve all symptoms of the syndrome. The aim of this study was to investigate symptoms of anxiety and depression and HRQoL in women with severe obesity (BMI ≥ 35) with and without PCOS, and to evaluate the effect of a one-year structured weight loss intervention. A total of 246 women with severe obesity (PCOS n = 63, non-PCOS n = 183) were included. The comprehensive psychopathological rating scale self-rating scale for affective symptoms (CPRS-S-A) and the short form-36 (SF-36) were used to assess symptoms of anxiety and depression and HRQoL. In total 72 women of the 246 women with severe obesity completed a one-year weight loss programme and were followed up and compared with baseline data. In women with severe obesity, there were no differences in symptoms of anxiety and depression and HRQoL between women with and without PCOS at baseline. Clinically relevant anxiety symptoms were present in 71.3% (PCOS) and 65.6% (non-PCOS), and depression symptoms were present in 56.4% (PCOS) and 52.2% (non-PCOS). Significant weight loss improved physical HRQoL in all women, but reduced symptoms of anxiety and depression only in women without PCOS. There were no differences when comparing the changes between the groups. Women with severe obesity are severely affected by symptoms of anxiety and depression, independent of PCOS. Weight loss improved symptoms of anxiety and depression in women without PCOS, but there were no differences between groups in change from baseline to follow-up.Trial registration number: Clinical trial.gov: NCT01319162, March 18, 2011. Date of registration and enrolment of the first subject September 2011.