Background: Polycystic ovary syndrome (PCOS) and subclinical hypothyroidism (SCH) often coexist, but implications of the co-occurrence of two disorders have not yet been established. The objective is to conclude whether SCH with present or absent anti-thyroid antibodies (ATA) impacts on the PCOS phenotype and alters biochemical or clinical parameters. Methods: A retrospective cohort study was conducted in a tertiary reference center. Clinical and biochemical parameters of women with PCOS were analyzed. Results: A total of 367 women with PCOS were included in the study, 114 (31.1%) of whom were diagnosed with SCH and 16 (4.4%) with autoimmune thyroiditis (AIT). Among all parameters studied, the strongest relationship with SCH was confirmed for insulin resistance and dyslipidemia. SCH was an independent risk factor for insulin resistance. In SCH the additional presence of ATA did not exacerbate the metabolic disorders. There was no significant association of any PCOS phenotype with SCH, nor with the presence of circulating ATA. There was no significant difference in hormonal parameters and mFerriman–Gallwey scale score between women with PCOS with and without SCH. Conclusions: SCH alters metabolic, but not hormonal, parameters in PCOS. The diagnosis of SCH does not exclude the diagnosis of PCOS. The potential effect of positive ATA was insignificant.