Insulin resistance (IR) is a prominent feature of polycystic ovary syndrome (PCOS). The importance of lifestyle interventions in the management of PCOS is strongly highlighted and it is suggested that diet and physical activity may significantly influence insulin sensitivity. Therefore, we evaluated the link between diet and physical activity and various indices of insulin resistance, including adipokines secreted by the adipose tissue in 56 PCOS and 33 healthy control women. The original food frequency questionnaire and Actigraph GT3X-BT were used to assess the adherence to the diet recommended in IR and the level of physical activity, respectively. We observed that higher levels of physical activity were associated with lower HOMA-IR and a greater chance of its normal value in PCOS group. No such relationship was observed for other IR indices and adipokines or for the diet. However, we noted a strong correlation between HOMA-IR (Homeostatic Model Assessment of Insulin Resistance) and HOMA-AD (Homeostatic Model Assessment-Adiponectin) in PCOS women. Additionally, when we used HOMA-AD we observed a higher prevalence of IR among PCOS women. Our study supports the beneficial role of physical activity in the management of insulin resistance in PCOS women. Moreover, our findings indicate that HOMA-AD may be a promising surrogate marker for insulin resistance assessment in women with PCOS.