Low vitamin D and insulin resistance are common in polycystic ovary syndrome (PCOS) and associated with higher inter- and intra-muscular adipose tissue (IMAT). We investigated associations between vitamin D, IMAT and insulin resistance in a cross-sectional study of 40 women with PCOS and 30 women without PCOS, and pre- and post-exercise in a 12-week intervention in 16 overweight participants (10 with PCOS and six without PCOS). A non-classical body mass index (BMI) threshold was used to differentiate lean and overweight women (BMI ≥ 27 kg/m²). Measurements included plasma 25-hydroxyvitamin D (25OHD), insulin resistance (glucose infusion rate (GIR; mg/m²/min), fasting glucose and insulin, and glycated haemoglobin), visceral fat, mid-thigh IMAT (computed tomography) and total body fat (dual-energy X-ray absorptiometry). Women with both PCOS and low 25OHD levels had the lowest GIR (all p < 0.05). Higher IMAT was associated with lower 25OHD (B = -3.95; 95% CI -6.86, -1.05) and GIR (B = -21.3; 95% CI -37.16, -5.44) in women with PCOS. Overweight women with pre-exercise 25OHD ≥30 nmol/L had significant increases in GIR, and decreases in total and visceral fat (all p < 0.044), but no associations were observed when stratified by PCOS status. Women with PCOS and low 25OHD levels have increased insulin resistance which may be partly explained by higher IMAT. Higher pre-training 25OHD levels may enhance exercise-induced changes in body composition and insulin resistance in overweight women.