Polycystic ovary syndrome (PCOS) is the most common endocrine disorder in premenopausal women and is characterized by chronic ovulatory dysfunction and hyperandrogenism. Clinical studies have shown that hyperandrogenism is linked with insulin resistance/metabolic syndrome in PCOS women. This review article summarizes the several potential mechanisms for the association of androgen excess with insulin resistance, including both direct and indirect actions of androgens on insulin target tissues. This review article also focuses on the beneficial effects of exercise training and diet on glucose metabolism and hyperandrogenism in PCOS women, pointing out that whether in conjunction with pharmacotherapy or as a stand-alone treatment, diet and exercise training represent a fundamental strategy in the treatment of PCOS women.