For over two decades clinical studies have been conducted which suggest the existence of a relationship between depression and Obstructive Sleep Apnea (OSA). Recently, Ohayon underscored the evidence for a link between these two disorders in the general population, showing that 800 out of 100,000 individuals had both, a breathing-related sleep disorder and a major depressive disorder, with up to 20% of the subjects presenting with one of these disorders also having the other. In some populations, depending on age, gender and other demographic and health characteristics, the prevalence of both disorders may be even higher: OSA may affect more than 50% of individuals over the age of 65, and significant depressive symptoms may be present in as many as 26% of a community-dwelling population of older adults. In clinical practice, the presence of depressive symptomatology is often considered in patients with OSA, and may be accounted for and followed-up when considering treatment approaches and response to treatment. On the other hand, sleep problems and specifically OSA are rarely assessed on a regular basis in patients with a depressive disorder. However, OSA might not only be associated with a depressive syndrome, but its presence may also be responsible for failure to respond to appropriate pharmacological treatment. Furthermore, an undiagnosed OSA might be exacerbated by adjunct treatments to antidepressant medications, such as benzodiazepines. Increased awareness of the relationship between depression and OSA might significantly improve diagnostic accuracy as well as treatment outcome for both disorders. In this review, we will summarize important findings in the current literature regarding the association between depression and OSA, and the possible mechanisms by which both disorders interact. Implications for clinical practice will be discussed.