Background: Obstructive sleep apnea is a common disease that may be associated with psychiatric illnesses. Furthermore, treatment of obstructive sleep apnea may improve mood disorders. Objective: To evaluate the frequency of depression, anxiety, and stress in Saudi Arabia with obstructive sleep apnea and its link with obstructive sleep apnea severity. Methods: In this cross-sectional study, all patients at risk of obstructive sleep apnea visiting the sleep clinic at a university hospital from January 2015 till February 2016 were enrolled. Those who were already confirmed with obstructive sleep apnea and were receiving continuous positive airway pressure were also studied. Patients with a history of psychiatric illnesses or use of antipsychotic medication in the last six months were excluded. Depression, anxiety, and stress were assessed using self-administered validated questionnaires: The Depression Anxiety Stress Scale. Results: Seventy-five patients with obstructive sleep apnea were included. Males accounted for 65.30% of the study population. Mean age was 47.49 years and mean body mass index was 36.5 kg/m2. Fifty percent had depression, 54.60% had anxiety and 65.30% had stress. In addition, the prevalence of depression and anxiety but not stress appears to be higher in patients with severe obstructive sleep apnea. Moreover, treatment with continuous positive airway pressure seems to decrease the prevalence of mood disorders among sleep apnea patients. Conclusion: Mood disorders are very common among patients with obstructive sleep apnea and their prevalence tends to increase with the severity of obstructive sleep apnea and decrease among those receiving continuous positive airway pressure.