Women with polycystic ovary syndrome (PCOS) have varying difficulties in achieving weight loss by lifestyle intervention, which may depend on adipose tissue metabolism. The objective was to study baseline subcutaneous adipose tissue gene expression as a prediction of weight loss by lifestyle intervention in obese/overweight women with PCOS. This is a secondary analysis of a randomized controlled trial where women with PCOS, aged 18–40 and body mass index (BMI) ≥ 27 were initially randomized to either a 4-month behavioral modification program or minimal intervention according to standard care. Baseline subcutaneous adipose tissue gene expression was related to weight change after the lifestyle intervention. A total of 55 obese/overweight women provided subcutaneous adipose samples at study entry. Weight loss was significant after behavioral modification (−2.2%, p = 0.0014), while there was no significant weight loss in the control group (−1.1%, p = 0.12). In microarray analysis of adipose samples, expression of 40 genes differed significantly between subgroups of those with the greatest weight loss or weight gain. 10 genes were involved in metabolic pathways including glutathione metabolism, gluconeogenesis, and pyruvate metabolism. Results were confirmed by real-time polymerase chain reaction (RT-PCR) in all 55 subjects. Expressions of GSTM5, ANLN, and H3C2 correlated with weight change (R = −0.41, p = 0.002; R = −0.31, p = 0.023 and R = −0.32, p = 0.016, respectively). GSTM5, involved in glutathione metabolism, was the strongest predictor of weight loss, and together with baseline waist-hip ratio (WHR) explained 31% of the variation in body weight change. This study shows that baseline subcutaneous adipose tissue genes play a role for body weight outcome in response to lifestyle intervention in overweight/obese women with PCOS.