The aim of this study was to analyze the relationship between the initiation of CPAP therapy and HRV in patients with OSA. The study group consisted of 37 patients, aged 34–79 (mean 54.95 years) with OSA treated with CPAP. Two subgroups of patients were distinguished: less than severe (AHI < 30, n = 16) and severe OSA (AHI ≥ 30, n = 21). The second study was carried out around a month after the initiation of therapy. CPAP therapy caused the improvement in polysomnographic parameters, however, in most parameters in time and frequency analysis, there were no significant positive changes in parasympathetic tone. Moreover, in HRV time analysis, the reduced rMSSD and pNN50 parameters in the hours of night rest and rMSSD and SDSD during the 15-min N3 sleep period were noted. Especially, in the group with AHI ≥ 30, we observed significant decreases in rMSSD and pNN50 for the entire time. The changes were mainly for the night periods including the N3 sleep period, which is especially connected with sleep apnea (parameters: rMSSD, SDSD, and pNN50). In spectral analysis, the decrease in HF from the 15-min daily activity period and the N3 sleep period was observed. Inverse correlations were seen between the maximum, median, and mean positive airway pressure (PAP) and the change in rMSSD, SDNN, and SDSD, mainly during night hours and the N3 sleep period. Only in patients with AHI < 30 the increase in SDNN was observed in 15-min N3 sleep period. The beneficial increase in SDNN parameter from time analysis was observed only in one sleep period in less ill patients with OSA. The lack of significant changes was observed in the majority of the parameters of heart rate variability after initiation of CPAP therapy in a short observational time; however, the shift towards reduced HRV was observed in patients with AHI > 30, so the response to CPAP therapy may depends on the severity of the apnea. The results may suggest that a longer observational period is needed in such studies, and the problem is still not fully elucidated.