Considering joriki's comment, I'll interpret 'permutation group' as meaning 'symmetric group', because otherwise it is obvious that cycle structure isn't preserved; the permutation group
$$V:=\{\operatorname{id}_{S_4},(1\ 2),(3\ 4),(1\ 2)(3\ 4)\}\subset S_4,$$
has many automorphisms that do not preserve cycle structure, for example.
First some terminology: An inner automorphism of a group $G$ is a $\varphi\in\operatorname{Aut}(G)$ for which
$$\exists x\in G:\ \forall g\in G:\qquad \varphi(g)=xgx^{-1}.$$
That is, the automorphism $\varphi$ is given by conjugation by $x\in G$. Automorphisms that are not inner are called outer automorphisms. It is a nice and instructive exercise to check that the inner automorphisms form a normal subgroup $\operatorname{Inn}(G)\unlhd\operatorname{Aut}(G)$.
For symmetric groups conjugation preserves cycle structure, as you proved in class. Put briefly, conjugating a $g\in S_n$ by some permutation $x\in S_n$ simply permutes the numbers in any cycle representation of $g$ by the permutation $x$, so this preserves the cycle structure. That is to say,
$$\text{ If }\qquad g(i)=j\qquad \text{ then }\qquad (xgx^{-1})(x(i))=x(j).$$
This means all inner automorphisms of $S_n$ preserve cycle structure.
It is a weird and nontrivial fact that all automorphisms of all symmetric groups are inner automorphisms, except for some automorphisms of $S_6$. These outer automorphisms do not preserve cycle structure. You can check this by looking at explicit outer automorphisms of $S_6$. User 2015's answer gives a construction for such automorphisms, and google will give you many more constructions, for example here and here.
I don't know of a simple proof of the fact that all automorphisms of $S_n$ are inner for $n\neq6$, but here is a nice and elegant proof by user anon using only basic group theory and combinatorics.