Polycystic ovary syndrome (PCOS) is a prevalent endocrine disease characterized by hyperandrogenism, ovulatory dysfunction, and ovarian polycystic changes, which combines with reproductive problems, metabolic disorders, and psychological disorders to exhibit a far‐reaching impact on the physical and mental health of women. We reviewed previous research and discovered that psychiatric disorders are more common in PCOS patients and their children, potentially exacerbating the condition and creating a vicious loop. To understand the reasons, relevant articles were collected following the Preferred Reporting Items for Systematic Reviews and Meta‐analyses guidelines from PubMed, Web of Science, and Cochrane Library, through December 2022. Evidence suggested that PCOS‐related clinical manifestations, hyperandrogenism, insulin resistance, obesity, gut dysbiosis, and other variables may increase the risk of psychiatric disorders in patients. In turn, psychiatric disorders may aggravate the pathologic process of PCOS and increase the difficulty of the treatment. We systematically reported the mechanisms underlying the psychiatric disorders‐PCOS interactions, intending to provide potential ways to break the vicious cycle and lay the groundwork for future research. However, research on PCOS and psychiatric disorders were still in initial stages, which limited the scope of this review. More studies are needed to further verify our findings.