There is growing evidence linking obstructive sleep apnea hypopnea syndrome (OSAHS) with multiple cardiovascular and metabolic diseases. Exercise testing is generally available and routinely used to provide valuable information on cardiopulmonary function in healthy and diseased populations. This review summarizes and integrates recent findings on exercise testing in OSAHS and discusses the potential mechanisms that may contribute to the responses that seem to differentiate these patients from apparently healthy subjects and patients with other cardiopulmonary diseases. Although exercise testing is widely used in the evaluation and diagnosis of coronary artery disease patients, recent studies showed distinctive cardiopulmonary responses in OSAHS that raise the possibility of similar applications in this disorder, as well. Several studies illustrated in this review found that OSAHS patients have a reduced exercise capacity, as shown by low peak oxygen uptake achieved. Also, their exercise HR response was reported as significantly lower than in healthy peers, suggesting chronotropic incompetence. Exercise blood pressure response were atypical as well. OSAHS patients had increased systolic and diastolic BP during exercise and a persistently elevated systolic BP during the early post-exercise recovery period. Possible explanations for these responses include cardiac dysfunction, impaired muscle metabolism, chronic sympathetic over-activation, and endothelial dysfunction. Early identification of OSAHS using cardiopulmonary exercise testing (CPXT) shows promise for selecting patients at risk for this disorder in the clinical setting. A uniform definition and measurement of OSAHS together with more rigorous trials are necessary to establish the utility of exercise responses in clinical settings.