There are high rates of depression in people with obstructive sleep apnea (OSA) in both community and clinical populations. A large community study reported a rate of 17% and reports for sleep clinic samples range between 21% and 41%. A large cohort study found OSA to be a risk factor for depression, but we are unaware of any longitudinal study of the reverse association. However correlations have not generally been found in smaller studies. Well-designed longitudinal studies are needed to examine temporal relationships between the two conditions and further research is needed to establish the role of confounders, and effect modifiers such as gender, in any apparent relationship. Symptoms common to OSA and depression, such as sleepiness and fatigue, are obstacles to determining the presence and severity of one condition in the presence of the other, in research and clinically. Sleep clinicians are advised to consider depression as a likely cause of sleepiness and fatigue. Several possible causal mechanisms linking OSA and depression have been proposed but not established. Patients who have depression as well as OSA appear worse off than those with OSA only, and depressive symptoms persist in at least some patients in short term studies of treatment for OSA. Direct treatment of depression in OSA might improve acceptance of therapy, reduce sleepiness and fatigue and improve quality of life, but intervention trials are required to answer this question.