Dietary intake potentially modifies the prevalence or severity of asthma. The prevalence of asthma is higher in women with polycystic ovary syndrome (PCOS); it is not known if diet confounds or modifies the association between asthma and PCOS. The aims of this study were: (i) To determine if the association of PCOS and asthma is independent of dietary pattern and (ii) to determine if dietary pattern modifies the association between PCOS and asthma. Women in this study were from the Australian Longitudinal Study on Women’s Health (ALSWH) cohort born between 1973 to 1978 and aged 18 to 23 years (n = 7382). Logistic regression was used to assess the association between PCOS and asthma, adjusting for the following: (i) Potential confounders identified a priori and (ii) dietary patterns (z-score) identified by principle component analysis. In the adjusted analysis, women with PCOS were more likely to have asthma than the women without PCOS (OR 1.35 and 95% CI, 1.02 and 1.78). This relationship was not altered by further adjustment for dietary patterns (non-core food, meats and takeaway, or Mediterranean-style pattern). In the interaction analysis, only the women consuming less than the median intake of non-core foods (i.e., lower intake of discretionary or unhealthy foods) and with PCOS were more likely to have asthma (OR 1.91 and 95% CI, 1.29 and 2.82). Dietary intake did not confound the relationship between PCOS and asthma. Other mechanistic pathways are likely responsible for the asthma and PCOS association, and further studies assessing factors such as oral contraceptive use and sex steroid hormones warrant investigation.