This review was designed to consider the available literature concerning mental health and physical activity in women with polycystic ovary syndrome (PCOS). A systematic approach was taken and two electronic databases (PubMed and EBSCO Research articles published between 1970 and 2013) were searched in 2013 to inform a narrative review. Inclusion criteria encompassed requirements for the research to involve a physical activity intervention and assessment of mental health outcomes in women with PCOS. Seven articles considered mental health outcomes and physical activity interventions for women with PCOS. The results demonstrated positive outcomes following physical activity intervention for health-related quality of life, depression, and anxiety. Only one paper reported the independent effects of physical activity on mental health. All other interventions included multi-factor lifestyle interventions or did not establish a control group. Physical activity is likely to be beneficial to the mental health of women with PCOS; however, more research is required to establish the nature of the relationship between physical activity and mental health outcomes.