This study aimed to investigate macro- and microvascular function parameters and their relationship with known markers of cardiovascular risk in patients with untreated moderate to severe obstructive sleep apnoea (OSA). Fourteen patients with moderate to severe OSA and fourteen controls were included in the present study. General assessments included BMI, systemic blood pressure (BP) and circulating markers for oxidative stress and endothelial function. Additional assessments included 24 h BP and heart rate monitoring, as well as the assessment of heart rate variability. Macro- and microvascular assessments included augmentation index, carotid intima-media thickness, brachial artery flow-mediated dilation, as well as various retinal microvascular function assessments, using the Dynamic Retinal Vessel Analyzer. All participants completed the Short Form Health Survey, Functional Outcomes of Sleep Questionnaire, and Epworth Sleepiness Scale. The results show that, in comparison to controls, BMI (p = 0.003) and AIx (p = 0.025) were significantly higher in the OSA group. There was, however, no significant difference between groups with regard to other measured systemic general, vascular and circulatory parameters (all p > 0.05). Nevertheless, the retinal microvascular function showed various alterations in the OSA patients, including a delayed reaction time in response to flicker (p = 0.047), as well as a decreased dilation amplitude (p = 0.004), dilation slope (p = 0.004), and post-flicker constriction (p = 0.015). In addition, the observed SlopeAD alterations correlated negatively with BMI values only in the OSA group (r = −0.46, p = 0.045). In conclusion, individuals with untreated moderate to severe OSA but without overt CVD, exhibit signs of increased arterial stiffness and retinal microvascular dysfunction, which can be early indicators for future vascular complications.