Obstructive sleep apnea (OSA)-hypopnea syndrome is characterized by breathing cessation with temporary decrease in cerebral oxygenation that may lead to poor concentration up to cognitive impairment and mood problems. Continuous positive airway pressure (CPAP) is essential for treating OSA-hypopnea syndrome, but its role remains debatable. This current work was designed to evaluate the effect of CPAP therapy on neuropsychiatric complications of OSA including mood disorders (depression and anxiety), neurocognitive disorders, and sleep-related quality of life (QoL). Patients and methods A total of 113 newly diagnosed patients with OSA were followed up after receiving CPAP treatment for 3 months, by assessment of Epworth Sleepiness Scale, Functional Outcome of Sleep Questionnaire, Hospital Anxiety and Depression Scale (HADS), and neurocognitive assessment by Montreal Cognitive Assessment (MoCA) scale. Results After 3 months on CPAP, patients with OSA achieved improvement in sleep symptoms, Epworth Sleepiness Scale, Functional Outcome of Sleep Questionnaire-10 (P<0.001), HADS (P=0.01, 0.05), and MoCA scale (P=0.02). Among the different domains of cognitive dysfunction, only visual-spatial/executive function, namely, attention and delayed recall domains, were significantly improved. There were significant positive correlations between HADS anxiety and depression scores with apnea/hypopnea index, and also the minimal oxygen saturation showed significant negative correlation with HADS, but positive correlation with MoCA scale. Conclusion A remarkable improvement was evident in sleep-related QoL, depression, anxiety, and some domains of cognitive function, after using CPAP treatment among complaint patients with OSA. Depression, anxiety, and cognitive dysfunction are the prevalent neuropsychiatric complications of OSA and have to be assessed in all patients with OSA. Minimal oxygen saturation was the most striking risk factor correlated with sleep-related QoL and all the studied parameters of neuropsychiatric disorders.