Polycystic ovary syndrome (PCOS) is the commonest endocrinopathy in reproductive-aged women. Because increased adiposity is pivotal in the severity of PCOS-related symptoms, treatment usually incorporates increasing energy expenditure through physical activity (PA). This study aimed to understand the reasons why women with PCOS engage in PA/exercise, which could support the development of targeted behavioural interventions in this at-risk population. Validated questionnaires were administered for self-reported PA levels, quality of life, mental health, illness perception, sleep quality, and capability, opportunity, and motivation (COM) for PA. Using categorical PA data, outcomes were compared between groups; ordinal logistic regression (OLR) was used to identify whether COM could explain PA categorisation. A total of 333 participants were eligible; favourable differences were reported for body mass index, depression, mental wellbeing, self-rated health, illness perception, and insomnia severity for those reporting the highest PA levels. COM scores increased according to PA categorisation, whilst OLR identified conscious and automatic motivation as explaining the largest PA variance. The most active participants reported favourable data for most outcomes. However, determining whether health is protected by higher PA or ill health is a barrier to PA was not possible. These findings suggest that future behavioural interventions should be targeted at increasing patient motivation.