It is generally believed that obstructive sleep apnea (OSA) causes depression in some patients, yet it is unknown whether this depression is an actual clinical phenomenon or purely a result of overlapping somatic/physical symptoms shared by both disorders. The present study investigated changes in both somatic and affective/cognitive symptoms of depression associated with the introduction of continuous positive airway pressure (CPAP) treatment for OSA. Participants were 39 outpatients (35 males, 4 females) with no current or past mental health problems, diagnosed with OSA in a hospital sleep disorders clinic. The Beck Depression Inventory (BDI) was administered prior to treatment and again 3 months after CPAP. Total BDI scores improved after CPAP, independent of objectively monitored CPAP compliance rates. Both somatic and affective/ cognitive symptoms of depression improved in a similar manner after treatment. Our findings suggest that depressive symptoms experienced by OSA patients are not solely the result of physical OSA symptoms but include a mood component as well. We introduce a hypothetical model to conceptualize the relationship between OSA and depression.