Background: Polycystic ovary syndrome (PCOS) is a chronic endocrinopathy characterized by oligo- or anovulation, clinical and/or biochemical markers of hyperandrogenism, and polycystic ovaries, and it is associated with an increased prevalence of depression. Research conducted on psychiatric patients has shown correlations between depression and decreased cognitive function. The aim of this study was to examine the possible mediation of the time perspective (TP) in the development of depressive symptoms in patients with PCOS. Methods: A study was conducted on 83 patients with PCOS and 65 healthy women. Standardized questionnaires were used to assess depressive symptoms (Beck Depression Inventory—BDI-II) and time perspective (Zimbardo Time Perspective Inventory—ZTPI). Results: Our study revealed an indirect influence of depressive symptoms on PCOS through the positive future time perspective. In the logistic regression model, which included depression and a given time perspective as predictors of PCOS, only the future TP (β = −0.004, p < 0.003, OR = 1.004, 95% CI [1.001, 1.008]) was significantly independently related to the occurrence of PCOS. Conclusions: Our result is another argument for the role of psychoeducation and appropriate communication with a patient from the risk group in a way that builds hope and allows to regain influence on life situation.