Polycystic ovary syndrome (PCOS) is a prevalent endocrine disorder associated with insulin resistance and affecting women of reproductive age. Although the aetiology and the underlying molecular mechanisms of metabolic dysregulation in PCOS remain unclear, regular physical activity is known to ameliorate metabolic dysfunction. In this study, we investigated the transcriptional and epigenetic adaptations to exercise training in women with PCOS (n = 8). Following 12 weeks of high-intensity interval training (HIIT), participants exhibited reduced fasting glucose levels and improved whole-body insulin sensitivity, as measured by the glucose infusion rate (GIR). At the transcriptional level, HIIT upregulated genes associated with the extracellular matrix (ECM) but did not induce the expression of mitochondrial-related genes in skeletal muscle (SM) or subcutaneous adipose tissue (SAT). Yet, gene ontology analysis revealed an enrichment of pathways indicative of a reduction in oxidative stress and low-grade chronic inflammation. These findings suggest that the metabolic benefits of exercise training in women with PCOS may occur independently of changes in the expression of mitochondrial-associated genes.