Background: The identification of circulating markers of oxidative stress and systemic inflammation might enhance risk stratification in obstructive sleep apnea (OSA). We investigated the association between specific haematological parameters, as easily measurable markers of oxidative stress and inflammation, and the degree of hypoxia during polysomnography using the apnea hypopnea index (AHI), oxygen desaturation index (ODI), and oxygen saturation (SpO2), in OSA patients. Methods: Associations between polysomnographic parameters and demographic, clinical, and laboratory characteristics were assessed in a consecutive series of patients with OSA attending the Respiratory Disease Unit of the University Hospital of Sassari, north Sardinia (Italy), between 2015 and 2019. Results: In 259 OSA patients (195 males and 64 females), the body mass index (BMI) was significantly and positively associated with the AHI and ODI, and negatively associated with the mean SpO2. No haematological parameter was independently associated with the AHI or ODI. By contrast, albumin, neutrophil, and monocyte counts, and the systemic inflammatory response index (SIRI) were independently associated with a lower SpO2. Conclusions: Our results suggest that albumin and specific haematological parameters are promising markers of reduced oxygen saturation in OSA.