Induction of heat shock protein expression and the heat shock (stress) response are seen in exercise. This exercise-induced response is thought protective against cellular stress through the expression of heat shock proteins. The highly inducible heat shock protein 72 (HSP72) has been shown to be expressed in a number of stress-related conditions, but not investigated in women with polycystic ovary syndrome (PCOS). Twenty-one women (10 controls, 11 with PCOS) concluded an 8-week supervised, moderate-intensity exercise programme. Monocytes and lymphocytes were analysed by flow cytometry for HSP72 expression from blood samples prior to, mid-way and at the completion of the programme. The monocyte HSP72 expression showed an increase from baseline values through mid-way (p = 0.025), and at the completion of the programme (p = 0.011) only in the control group, the PCOS group showed no significant change. This pattern was similar for lymphocyte HSP72 expression where a significant increase was found at the completion of the programme (p = 0.01) only in the control group. The magnitude of increased HSP72 expression following completion of the programme was linked to baseline values only in the control group. In conclusion, increased HSP72 expression to exercise over an 8-week period was seen in control but not in PCOS women, suggesting that there is an impairment of HSP72 expression in response to exercise in these women.