Polycystic ovary syndrome (PCOS) is a common endocrine disorder affecting pre-menopausal women and involves metabolic dysregulation. Despite the high prevalence of insulin resistance, the existence of mitochondrial dysregulation and its role in the pathogenesis of PCOS is not clear. Exercise is recommended as the first-line therapy for women with PCOS. In particular, high-intensity interval training (HIIT) is known to improve metabolic health and enhance mitochondrial characteristics. In this narrative review, the existing knowledge of mitochondrial characteristics in skeletal muscle and adipose tissue of women with PCOS and the effect of exercise interventions in ameliorating metabolic and mitochondrial health in these women are discussed. Even though the evidence on mitochondrial dysfunction in PCOS is limited, some studies point to aberrant mitochondrial functions mostly in skeletal muscle, while there is very little research in adipose tissue. Although most exercise intervention studies in PCOS report improvements in metabolic health, they show diverse and inconclusive findings in relation to mitochondrial characteristics. A limitation of the current study is the lack of comprehensive mitochondrial analyses and the diversity in exercise modalities, with only one study investigating the impact of HIIT alone. Therefore, further comprehensive large-scale exercise intervention studies are required to understand the association between metabolic dysfunction and aberrant mitochondrial profile, and the molecular mechanisms underlying the exercise-induced metabolic adaptations in women with PCOS.