Abdominal obesity is a common feature of women with polycystic ovary syndrome (PCOS), and it is known to exacerbate insulin resistance (IR). Improper dietary and physical activity patterns are crucial environmental factors involved in the development of obesity, and they can significantly influence the central deposition of adipose tissue. Therefore, in this cross-sectional study, we aimed to evaluate the relationship between abdominal adiposity (measured by VAT (visceral adipose tissue), SAT (subcutaneous adipose tissue), VAT/SAT ratio (visceral to subcutaneous fat ratio), and WHR (waist-to-hip ratio)) and the prevalence and odds ratios of IR (measured by the homeostatic model assessment of insulin resistance (HOMA-IR), the homeostatic model assessment-adiponectin (HOMA-AD) and leptin to adiponectin ratio (L/A ratio)) in 56 PCOS women. Furthermore, we investigated the relationship between these abdominal obesity indices and diet and physical activity. An original food frequency questionnaire and Actigraph GT3X-BT were used to assess adherence to the diet recommended in IR and the level of physical activity, respectively. We observed a higher prevalence of IR among women with higher VAT, VAT/SAT, and WHR values compared to women with normal values of those abdominal obesity indices. Moreover, VAT/SAT seemed to be the best predictor of IR measured by HOMA-IR and HOMA-AD. However, VAT appeared to be the best and strongest predictor of IR measured by the L/A ratio. We also observed that higher adherence to the diet recommended in IR and higher levels of vigorous physical activity were associated with lower values of central fat accumulation indices and a greater chance of their normal values. Our findings indicate that central obesity increases the odds of IR and supports the beneficial role of diet and physical activity in the management of abdominal obesity in PCOS women.