Polycystic ovary syndrome (PCOS), a common and frustrating syndrome in women of reproductive age, is characterized by symptoms including hyperandrogenemia, ovulation dysfunction, and polycystic ovaries. The role of competitive endogenous RNA (ceRNA) networks is receiving increasing attention and has been reported in multiple complicated diseases, such as various carcinomas, endometriosis, and tubal factor infertility. However, the association of ceRNA networks with the pathogenesis of PCOS remains unclear. This study aimed to construct a ceRNA network orchestrated by exosomal lnRNA and circRNA in PCOS. We screened RNA data of 34 samples from the Gene Expression Omnibus (GEO) database for differentially expressed lncRNAs (DELs), miRNAs (DEMs), mRNAs (DEGs), and circRNA associated with the progression of PCOS (PCOS, n = 17 vs. normal, n = 17). A protein–protein interaction (PPI) network, gene set enrichment analysis (GSEA), and Gene Ontology (GO) and Kyoto Encyclopedia of Genes and Genomes (KEGG) analyses were conducted. Importantly, the function of the ceRNA network was explored using GO and KEGG enrichment analyses. We identified 46 DELs (25 upregulated and 21 downregulated), 31 DEMs (20 upregulated and 11 downregulated), 165 DEGs (52 upregulated and 113 downregulated), and 1 differentially expressed circRNA. The PPI network had 79 nodes and 112 edges. The GSEA results showed that these genes were mainly related to oxidative phosphorylation; TNF signaling pathways; and valine, leucine, and isoleucine degradation. GO and KEGG analyses revealed that the DEGs were significantly enriched in lipid metabolism, peroxisome proliferator-activated receptor (PPAR) signaling pathways, and fatty acid metabolism. Additionally, we constructed a novel PCOS-associated lncRNA–miRNA–mRNA ceRNA triple network and a circRNA-related network. Thereafter, we described the potential roles played by follicular fluid exosomes in PCOS. Our present study describes the molecular pathogenesis of PCOS in human ovarian granulosa cells at the post-transcriptional level, which provides new insights for the clinical diagnosis and treatment of PCOS and further scientific research.