(1) Background: Icariin is the main component of the Chinese herb Epimedium. A number of studies have shown that it alleviates abnormal lipid metabolism. However, it is not clear whether and how icariin can ameliorate hepatic steatosis with polycystic ovary syndrome (PCOS). This study was designed to explore the anti-hepatosteatosis effect of icariin in rats with polycystic ovary syndrome. (2) Methods: Female Sprague Dawley(SD)rats were treated with a high-fat diet and letrozole for 21 days to make nonalcoholic fatty liver disease (NAFLD) in the polycystic ovary syndrome model. Then model rats were treated with icariin (by gavage, once daily) for 28 days. Serum hormones and biochemical variables were determined by ELISA or enzyme. RNA-sequence analysis was used to enrich related target pathways. Then, quantitative Real-time PCR (qRT-PCR) and Western blot were performed to verify target genes and proteins. (3) Results: Icariin treatment reduced excess serum levels of Testosterone (T), Estradiol (E2), Luteinizing hormone (LH), Follicle-stimulating hormone (FSH), LH/FSH ratio, insulin, triglycerides (TG), and aspartate aminotransferase (AST) in high-fat diet (HFD) and letrozole fed rats. Meanwhile, icariin ameliorated HFD and letrozole-induced fatty liver, as evidenced by a reduction in excess triglyceride accumulation, vacuolization, and Oil Red O staining area in the liver of model rats. Results of RNA-sequencing, western blotting, and qRT-PCR analyses indicated that icariin up-regulated fatty acid translocase (CD36), in mitochondria, and peroxisome proliferator-activated receptor α (PPARα) expression, which led to the enhancement of fatty acid oxidation molecules, such as cytochrome P450, family 4, subfamily a, polypeptide 3 (CYP4A3), carnitine palmitoyltransferase 1 α (CPT1α), acyl-CoA oxidase 1 (ACOX1), medium-chain acyl-CoA dehydrogenase (MCAD), and long-chain acyl-CoA dehydrogenase (LCAD). Besides, icariin reduced lipid synthesis, which elicited stearoyl-Coenzyme A desaturase 1 (SCD1), fatty acid synthase (FASN), and acetyl-CoA (ACC). (4) Conclusion: Icariin showed an ameliorative effect on hepatic steatosis induced by HFD and letrozole, which was associated with improved fatty acid oxidation and reduced lipid accumulation in the liver.