In this study, cardiorespiratory fitness (CRF) and strength level were assessed in women with and without polycystic ovary syndrome (PCOS), matched for age, body composition, androgenic pattern and insulinemic pattern. Patients with and without PCOS were evaluated at the Endocrinology Unit and Sport Medicine Division to assess endocrinological (insulinemic, androgenic pattern and growth hormone), anthropometric (with DEXA) and functional parameters (with cardiopulmonary exercise test and handgrip test), as well as physical activity level (with the Global Physical Activity Questionnaire). A total of 31 patients with PCOS and 13 controls were included. No statistically significant differences were found between groups in terms of age, body mass index, body composition, androgenic pattern, insulin state, growth hormone and physical activity level. The PCOS group demonstrated significantly better cardiorespiratory fitness (VO2max per kg (30.9 ± 7.6 vs. 24.8 ± 4.1 mL/kg/min; p = 0.010), VO2max per kg of fat-free mass (52.4 ± 8.9 vs. 45.3 ± 6.2 mL/kg/min; p = 0.018)), strength levels (handgrip per kg (0.36 ± 0.09 vs. 0.30 ± 0.08; p = 0.009), handgrip per kg of fat-free mass (13.03 ± 2.32 vs. 11.50 ± 1.91; p = 0.001)) and exercise capacity (METs at test (14.4 ± 2.72 vs. 12.5 ± 1.72 METs; p = 0.019)). In this study, women with PCOS showed a better cardiorespiratory fitness and strength than the control group. The only determinant that could explain the differences observed seems to be the presence of the syndrome itself. These results suggest that PCOS per se does not limit exercise capacity and does not exclude good functional capacity.