Polycystic ovary syndrome (PCOS) is the most common endocrine disorder among women of reproductive age. It is a heterogeneous condition characterized by reproductive, endocrine, metabolic, and psychiatric abnormalities. More than one pathogenic mechanism is involved in its development. On the other hand, the hypothalamus plays a crucial role in many important functions of the body, including weight balance, food intake, and reproduction. A high-fat diet with a large amount of long-chain saturated fatty acids can induce inflammation in the hypothalamus. Hypothalamic neurons can sense extracellular glucose concentrations and participate, with a feedback mechanism, in the regulation of whole-body glucose homeostasis. When consumed nutrients are rich in fat and sugar, and these regulatory mechanisms can trigger inflammatory pathways resulting in hypothalamic inflammation. The latter has been correlated with metabolic diseases, obesity, and depression. In this review, we explore whether the pattern and the expansion of hypothalamic inflammation, as a result of a high-fat and -sugar diet, may contribute to the heterogeneity of the clinical, hormonal, and metabolic presentation in PCOS via pathophysiologic mechanisms affecting specific areas of the hypothalamus. These mechanisms could be potential targets for the development of effective therapies for the treatment of PCOS.