Pigment epithelium-derived factor (PEDF) is upregulated in obese rodents and is involved in the development of insulin resistance (IR). We aim to explore the relationships between PEDF, adiposity, insulin sensitivity, and cardiovascular risk factors in obese women with polycystic ovary syndrome (PCOS) and weight-matched controls and to examine the impact of endurance exercise training on PEDF. This prospective cohort intervention study was based at a tertiary medical center. Twenty obese PCOS women and 14 non-PCOS weight-matched women were studied at baseline. PEDF, cardiometabolic markers, detailed body composition, and euglycemic-hyperinsulinemic clamps were performed and measures were repeated in 10 PCOS and 8 non-PCOS women following 12 weeks of intensified aerobic exercise. Mean glucose infusion rate (GIR) was 31.7% lower (P = 0.02) in PCOS compared to controls (175.6 ± 96.3 and 257.2 ± 64.3 mg.m(-2).min(-1)) at baseline, yet both PEDF and BMI were similar between groups. PEDF negatively correlated to GIR (r = -0.41, P = 0.03) and high-density lipoprotein (HDL) (r = -0.46, P = 0.01), and positively to cardiovascular risk factors, systolic (r = 0.41, P = 0.02) and diastolic blood pressure (r = 0.47, P = 0.01) and triglycerides (r = 0.49, P = 0.004). The correlation with GIR was not significant after adjusting for fat mass (P = 0.07). Exercise training maintained BMI and increased GIR in both groups; however, plasma PEDF was unchanged. In summary, PEDF is not elevated in PCOS, is not associated with IR when adjusted for fat mass, and is not reduced by endurance exercise training despite improved insulin sensitivity. PEDF was associated with cardiovascular risk factors, suggesting PEDF may be a marker of cardiovascular risk status.