Polycystic ovary syndrome (PCOS) is a common condition in women associated with menstrual irregularity and anovulation. While obesity worsens and weight loss or exercise improves reproduction function in PCOS, the mechanism for this is unclear. The aim of this study was to examine the effect of exercise on ovarian hormones [anti-Müllerian hormone (AMH)] and menstrual and ovulatory function in women with and without PCOS. Overweight women with (n=7) and without (n=8) PCOS of comparable age, weight and BMI undertook a 12-week intensified endurance exercise training program (1 h 3 times/week) with no structured energy restriction. Primary outcomes were AMH, ovulation (weekly urinary pregnanediol) and menstrual regularity. Secondary outcomes were insulin resistance (euglycemic hyperinsulinemic clamp) and body composition (computed tomography and dual X-ray absorptiometry). Exercise decreased BMI, total and android fat mass and improved insulin sensitivity for all women. AMH was significantly higher in women with PCOS compared to controls before (p<0.001) and after exercise (p=0.001). There was a significant interaction between AMH changes with exercise and PCOS status (p=0.007) such that women without PCOS had no change in AMH (+1.4±5.2 pmol/l, p=0.48) while women with PCOS had a decrease in AMH (− 13.2±11.7 pmol/l, p=0.025). Exercise is associated with improvements in ovarian hormones in women with abnormal ovarian function. This suggests that mechanisms associated with ovarian dysfunction can be improved by exercise in PCOS.