Polycystic ovary syndrome (PCOS) is a common endocrine disorder among females of reproductive age with heterogeneous prevalence. It is well known that female reproductive competence depends on the dynamic regulation of the hypothalamic-pituitary-gonadal (HPG) axis; therefore, disruption of this highly regulated system leads to fertility problems. Among disruptors, both oxidative stress and inflammation contribute to an increased LH-FSH ratio and a consequent hyperandrogenism. Shifts in this bidirectional interplay between the neuroendocrine system and oxidative/inflammatory homeostasis result in the accumulation of reactive oxygen/nitrogen species and inflammatory markers as well as alterations in antioxidant defense mechanisms. Evidence shows that lifestyle changes, including regular physical exercise, are recognized as the most effective first-line management to reduce the severity of PCOS symptoms. The aim of our narrative review is to provide insights into the mechanisms and target factors of PCOS-related hormonal changes, oxidative/antioxidant homeostasis, and inflammation, and to discuss the effects of exercise, which takes into account various factors, in relation to PCOS. A better understanding of the PCOS-associated hormonal changes, oxidative and inflammatory circuits, as well as exercise-induced mechanisms of action on those targets may improve the quality of life of women with PCOS.