Background: Polycystic ovary syndrome (PCOS) is one of the most common endocrine disorders among women of reproductive age. This study was designed to investigate the effects of melatonin and/or magnesium supplementation on metabolic profile and levels of sex hormones in PCOS women. Methods: In an 8-week randomized double-blind placebo-controlled trial, 84 subjects with PCOS aged 18–40 years were randomly assigned based on the random block procedure to take magnesium, melatonin, magnesium plus melatonin, and placebo. Fasting blood samples were obtained at the beginning and end of the study. Results: After intervention, the mean Pittsburg Sleep Quality Index score decreased significantly in both co-supplementation and melatonin groups (P < 0.001). Magnesium supplementation in combination with melatonin resulted in a significant greater decrease in testosterone concentrations compared with the placebo (P < 0.05). Co-supplementation of magnesium-melatonin had significantly reduced serum insulin levels (geometric means difference: − 1.11 (mIU/mL) (percent change: − 15.99)), homeostasis model of assessment-insulin resistance (HOMA-IR) (− 0.28 (− 18.66)), serum cholesterol (mean difference: − 16.08 (mg/dl) [95% CI − 24.24, − 7.92]), low-density lipoprotein cholesterol (LDL-C) − 18.96 (mg/dl) [− 28.73, − 9.20]) and testosterone levels (− 0.09 (ng/ml) (− 25.00)), as compared to the baseline values (P < 0.05). An increase in serum high-density lipoprotein cholesterol (HDL-C) levels was also observed following the administration of the melatonin alone (2.76 (mg/dl) [0.57, 4.95]) or in combination with magnesium (2.19 (mg/dl) [0.61, 3.77]) (P < 0.05). Conclusions: Co-supplementation with magnesium and melatonin had beneficial effects on sleep quality and total testosterone. Additionally, melatonin supplementation alone was found to be associated with a significant reduction in PSQI score. Moreover, combined melatonin and magnesium supplementation was more effective in improving serum levels of cholesterol, LDL-C, HDL-C and insulin, and HOMA-IR. Trial registration: Iranian Registry of Clinical Trial. http://www.irct.ir: IRCT20191130045556N1, January 2020.