This analysis of secondary outcome measures of a randomized controlled trial was conducted to study the effect of a one-year three-component (cognitive behavioural therapy, diet, exercise) lifestyle intervention (LSI), with or without additional Short Message Service (SMS) support, on physical activity and aerobic capacity in overweight or obese women with polycystic ovary syndrome (PCOS). Women diagnosed with PCOS and a BMI > 25 kg/m2 were randomly assigned to LSI with SMS support (SMS+, n = 60), LSI without SMS support (SMS−, n = 63) or care as usual (CAU, n = 60) in order to lose weight. Based on results from the International Physical Activity Questionnaire (IPAQ), we found a significant within-group increase after one year for SMS+ in the high physical activity category (+31%, p < 0.01) and sitting behaviour decreased (Δ −871 min/week, p < 0.01). Moreover, the peak cycle ergometer workload increased within SMS+ (Δ +10 watts, p < 0.01). The SMS+ group also demonstrated a significantly different increase in walking metabolic equivalent of task minutes (METmin)/week compared with CAU after one year (Δ 1106 METmin/week, p < 0.05). Apart from this increase in walking activity, no other between-group differences were found in this trial. Overall, based on within-group results, SMS support seemed to help with improving physical activity and aerobic capacity and decreasing sedentary behaviour.