Women with polycystic ovary syndrome (PCOS) have been shown to be less insulin sensitive compared with control (CON) women, independent of BMI. Training is associated with molecular adaptations in skeletal muscle, improving glucose uptake and metabolism in both healthy individuals and patients with type 2 diabetes. In the current study, lean hyperandrogenic women with PCOS (n = 9) and healthy CON women (n = 9) completed 14 weeks of controlled and supervised exercise training. In CON, the training intervention increased whole-body insulin action by 26% and insulin-stimulated leg glucose uptake by 53% together with increased insulin-stimulated leg blood flow and a more oxidative muscle fiber type distribution. In PCOS, no such changes were found, despite similar training intensity and improvements in VO2max. In skeletal muscle of CON but not PCOS, training increased GLUT4 and HKII mRNA and protein expressions. These data suggest that the impaired increase in whole-body insulin action in women with PCOS with training is caused by an impaired ability to upregulate key glucose-handling proteins for insulin-stimulated glucose uptake in skeletal muscle and insulin-stimulated leg blood flow. Still, other important benefits of exercise training appeared in women with PCOS, including an improvement of the hyperandrogenic state.