Obstructive sleep apnea (OSA) is the most common type of sleep apnea and caused by upper airway obstructions. Clinically, patients with OSA characteristically experience intermittent nocturnal hypoxemia and impaired sleep quality. Cognitive impairments are commonly seen in patients with an OSA diagnosis. A literature search on OSA, cognitive impairments and CPAP was performed with various electronic databases including Medline, EMBASE and Google Scholar. The chosen evidence was limited to human subject studies only, and reports on either central sleep apnea or non-classified sleep apnea were excluded. Available evidence has been systemically reviewed to ascertain what types of cognitive impairments are related to OSA as well as the pathological connections. In addition, effectiveness of continuous positive airway pressure (CPAP) was analyzed as a standard therapy for improving cognitive performance in patients with OSA. The review contributed in: (1) delineating OSA as a risk factor of cognitive impairments; (2) enumerating cognitive impairments seen in patients with OSA; (3) substantiating the relation between OSA and cognitive impairments from the pathological perspective of AD biomarkers; and (4) revealing duration of CPAP is crucial for its therapeutic effects on improving cognitive performance in patients with OSA.