Patients with obstructive sleep apnea (OSA), restless legs syndrome (RLS), or both may exhibit varied manifestations of depressive and anxiety symptomatology, reflecting the complex interplay between sleep disturbances, neurotransmitter imbalances, and psychosocial stressors in these often overlapping conditions. The aim of this study was to compare depressive and anxiety symptomatology, insomnia severity, and sleepiness in these conditions. Patients were enrolled and subdivided into those with OSA, RLS, and OSA + RLS. All were evaluated using the Patient Health Questionnaire-9 (PHQ-9), Generalized Anxiety Disorder 7 (GAD-7), Insomnia Severity Index, and Epworth Sleepiness Scale. A total of 159 patients were enrolled, with OSA (n = 85), RLS (n = 11), and OSA + RLS (n = 63). A significant difference was observed for PHQ-9 (higher in patients with RLS, associated or not with OSA); however, the groups also differed for age (older in RLS) and apnea–hypopnea index (AHI) (higher in OSA). The group difference in PHQ-9 persisted also after ruling out the confounding effects of age and AHI. Our study highlights the significant burden of depressive symptomatology in patients with OSA, RLS, or both. RLS patients consistently exhibited higher levels of depressive symptomatology compared with OSA patients, emphasizing the need for comprehensive assessment and tailored management strategies targeting both sleep-related and psychiatric symptoms in this population.