Background: Brain-derived neurotrophic factor (BDNF) is involved both in the ovarian dysfunctions such as Polycystic Ovary Syndrome (PCOS) and in the pathogenesis of depressive disorders. This study aimed to determine the association between plasma brain-derived neurotrophic factor (BDNF) levels and depression in polycystic ovarian syndrome (PCOS) patients. Methods: 71 patients with secondary amenorrhea (SA) were included in the study. The relationship between laboratory findings including plasma BDNF level and depression were examined in the PCOS group and in the non-PCOS group. Results: Among 71 SA patients, 43 participants were PCOS patients and 28 were non-PCOS patients. After controlling for age and BMI, the plasma BDNF level was not correlated with depression severity in the PCOS group (r = 0.259; p = 0.106). However, in the non-PCOS group, depression severity was negatively associated with the plasma BDNF level (r = −0.641; p 0.001). In the PCOS group, unlike the non-PCOS group, the anti-Müllerian hormone (AMH) levels and depression scores showed a negative correlation (r = −0.461, p = 0.004 with Center for Epidemiological Studies-Depression Rating Scale (CES-D); r = −0.521, p = 0.001 with Korean version of the Hamilton Depression Rating Scale (K-HDRS), respectively) and positively correlated with the levels of prolactin (r = 0.352, p = 0.026 with CES-D; r = 0.332, p = 0.036 with K-HDRS, respectively). Conclusion: This prospective cohort study showed that the plasma BDNF levels were not related to depression in patients with PCOS. However, the levels of some reproductive hormones such as AMH and prolactin were associated with depression in patients with PCOS. We suggest that the pathophysiology of depression differs in PCOS patients compared to in patients with other causes of SA.