Introduction: Obstructive sleep apnea (OSA) is a disorder that, apart from somatic sequelae, increases the risk of developing psychiatric conditions. Brain-derived neurotrophic factor (BDNF) signaling pathway is involved in the pathophysiology of depression and insomnia. Therefore, the study aimed to investigate differences in concentrations of BDNF and proBDNF in patients with OSA and healthy individuals, to evaluate diurnal changes of these proteins, and to assess the correlations with psychiatric symptoms. Methods: Sixty individuals following polysomnography (PSG) were divided into two groups based on the apnea-hypopnea index (AHI): OSA patients (AHI ≥ 30; n = 30) and control group (AHI < 5; n = 30). Participants filled out questionnaires: Beck Depression Inventory (BDI), Athens Insomnia Scale (AIS), and Pittsburgh Sleep Quality Index (PSQI). Peripheral blood was collected before and after PSG. Protein concentrations were measured using ELISA. OSA group was divided into subgroups: AIS (−)/AIS (+) (AIS > 5), PSQI (−)/PSQI (+) (PSQI > 5), and BDI (−)/BDI (+) (BDI > 19). Results: No differences in BDNF and proBDNF protein levels were observed between OSA and the control groups. However, BDNF and proBDNF evening protein concentrations were higher in the AIS (+) and PSQI (+) groups (p < 0.001 for all). The BDI (+) group was characterized by lower morning levels of both proteins (p = 0.047 and p = 0.003, respectively). Conclusions: BDNF signaling pathway might be involved in the pathophysiology of depression and insomnia in patients with OSA. BDNF and proBDNF protein levels might be useful in defining OSA phenotypes.