Background and Objectives: The Baveno classification represents a new approach to the assessment of the severity of OSA (Obstructive sleep apnea), which takes significant comorbidities into account: atrial fibrillation, arterial hypertension, heart failure, stroke, diabetes mellitus, and OSA symptoms expressed through the Epworth sleepiness scale (ESS). The authors believe that the Baveno classification facilitates a better stratification of patients with OSA and can be a good guide for deciding on the therapeutic approach and clinical monitoring of patients with OSA, compared to the AHI (apnea-hypopnea index) itself. The aim of this paper is to confirm the advantage of applying the Baveno classification to the evaluation of symptoms of anxiety and depression in the OSA patients compared to the application of the AHI as a single parameter. Materials and Methods: This research represents an observational retrospective study that was performed at the Pulmonology Clinic of the University Clinical Center in Kragujevac, Serbia. The study sample included 104 patients with diagnosed OSA. Patients were divided into four categories retrogradely according to the Baveno classification (A, B, C, and D). Statistical data processing was performed using the IBM SPSS Statistics version 25.0 program. Results: In our study, we proved that the Baveno classification is better at predicting the depressive disorder in OSA patients compared to the AHI itself, according to abnormal BDI-II (Beck Depression Inventory) score (value greater than ten) and HADS-D (Hospital anxiety and depression) scale (value greater than eight). The average AHI in the entire group of examined patients was 44.3 ± 19.8, while in category A the average AHI was 25.2 ± 10, in category B, 53.4 ± 20.6; in category C, 38.2 ± 18.5; and in category D, 48.1 ± 19.2. In the total sample, AHI did not correlate with the depressive episodes, but individually, the highest frequency of the depressive symptoms was precisely in the categories with the highest AHI (group D and B), where more than half of the subjects had an abnormal score. The frequency of the anxiety disorder (HADS-A) between the analyzed groups did not differ significantly, although the largest number of patients with significant anxiety were in category B, according to the Baveno classification. Conclusions: We proved that the Baveno classification is applicable in real life, and it is better at evaluating anxiety and depression using questionnaires and can identify new patients who need CPAP therapy, independently of other OSAS symptoms, primarily daytime sleepiness.