Various studies have focused on understanding how the continuous positive air pressure (CPAP) treatment improves the emotional state of obstructive sleep apnea patients, as well as factors that determine improvement. Yet the results are contradictory. The objective of the present study was to evaluate the changes in depression levels, anxiety state and anxiety trait levels of patients with obstructive sleep apnea after 1 month and again after 3 months of CPAP treatment. The sample consisted of 51 obstructive sleep apnea patients. The Beck Depression Inventory (BDI) standardized spanish version was used to assess depressive symptoms. The State-Trait Anxiety Inventory (STAI) was used to assess two elements of the response to anxiety: anxiety-state and anxiety-trait. The results indicate that there exist statistically significant differences in depression levels after 1 month and after 3 months of treatment (P < 0.05). In specific, a drop in depression symptomatology was observed in both experimental conditions. With respect to anxiety state-trait levels, the obtained results show statistically significant differences in anxiety-trait levels after 1 month and after 3 months of treatment (P < 0.05) and in anxiety state after 3 months of treatment (P < 0.01). Both variables experienced a decrease after CPAP treatment.