Both obstructive sleep apnea (OSA) and Alzheimer's disease (AD) are increasing health concerns. The objective of this study is to review systematically the effects of OSA on the development of AD. The search was conducted in PubMed and Cochrane CENTRAL, and followed by a manual search of references of published studies. Cross-sectional, cohorts, and randomized clinical trials were reviewed. Besides clinical studies, we also discuss neuroimaging data, experimental animal evidence, and molecular mechanisms. Although a causal relationship between OSA and AD is not yet established, OSA induces neurodegenerative changes as a result of two major contributing processes: sleep fragmentation and intermittent hypoxia. As such, inflammation and cellular stress are sufficient to impair cell-cell interactions, synaptic function, and neural circuitry, leading to a decline of cognitive behavior. Sustained OSA could promote cognitive dysfunction, overlapping with that in AD and other neurodegenerative diseases. Early treatment by positive airway pressure and other current standards of care should have a positive impact to alleviate structural and functional deterioration. With better understanding of the cellular and neurophysiological mechanisms by which OSA contributes to AD, we may identify novel molecular targets for intervention.