Background: The characteristics of polycystic ovary syndrome (PCOS) such as hyperandrogenism and anovulation can be highly stressful and might negatively affect psychological well-being and sexuality. The objective of this study was to evaluate the association between PCOS characteristics and psychological well-being as well as sexarche. Methods: Patients (n = 1148) underwent standardized clinical evaluation. Psychological well-being was investigated in 480 patients with the Rosenberg self-esteem scale (RSES), the body cathexis scale (BCS) and the fear of negative appearance evaluation scale (FNAES). Sexarche was also assessed. Results: Amenorrhoea was associated with lower self-esteem (P = 0.03), greater fear of negative appearance evaluation (P = 0.01) and earlier sexarche (P = 0.004). Hyperandrogenism and acne were associated with poorer body satisfaction (P = 0.03, 0.02, respectively). Hirsutism and BMI were negatively associated with all psychological variables (RSES, P = 0.01; BCS, P = 0.05; FNAES, P = 0.02 and RSES, P = 0.03; BCS, P = 0.001; FNAES, P = 0.03, respectively). Conclusions: Our results suggest that menstrual irregularities might be related to sexarche. Moreover, this study stresses that the treatment of women with PCOS should notably focus on physical but also on psychological and sexual characteristics.