Polycystic Ovary Syndrome (PCOS) is the most common endocrine-metabolic disorder in female adolescents, and it is associated with metabolic, cardiovascular, and reproductive complications. Recent findings also suggest an association with psychiatric pathology, both affected patients and their offspring. In this update, we synthesized the recent literature on mental health in women and adolescents with PCOS through a systematic search in PubMed, Epistemonikos, and Scielo for articles published in the last 5 years. There is a significantly increased risk of anxiety disorders, depression, eating disorders, obsessive-compulsive disorder, bipolar affective disorder, and psychosis in women with PCOS. Additionally, there is a risk of neurodevelopmental disorders, such as autism spectrum disorder and attention deficit and hyperactivity disorder, both affected individuals and their offspring. Hyperinsulinemia and hyperandrogenism could explain part of these associations, affecting the maturation of the central nervous system, especially during intrauterine life and adolescence. Distress due to the physical phenotypic characteristics of the disease could also impact the mental health of patients. There are still not enough studies explaining the origin of this correlation, nor clinical trials that specifically address mental health in these patients. Current evidence suggests the need to actively assess the mental health of these patients and to coordinate the different health teams involved in managing the pathology.