Athletic excellence requires a combination of genetic endowment, continuous training, appropriate equipment, and proper nutrition. However, the specific genetic and/or intrinsic hormonal milieus that contribute to athletic performance are not clearly understood. Androgens are thought to play an important role in exercise-induced target tissue response. In adults, the use of exogenous anabolic steroids was found to improve athletic performance, decrease fatigue, increase muscle mass, and increase aggressiveness. However, the benefit of these substances in adolescents remains questionable. Moreover, the role of endogenous androgen secretion for competitive performance success is far less studied. The present review will summarize aspects related to the effect of endogenous hyperandrogenism on exercise performance, as seen in polycystic ovary syndrome (PCOS), and will concentrate on important lessons learned from the unique model of exercise in congenital adrenal hyperplasia, a disease associated with endogenous hyperandrogenism.