Obstructive sleep apnea (OSA) is a significant risk factor for cardiovascular disease (CVD) with increasing prevalence. An important mechanism of CVD development is a dysregulation of the autonomic nervous system (ANS). This prospective and controlled cohort study aimed to investigate ANS function in OSA including the response to long-term continuous positive airway pressure (CPAP) therapy by analyzing 24 h Holter electrocardiogram and 24 h Holter ambulatory blood pressure recording parameters. The study enrolled 57 patients who were newly diagnosed with severe OSA. After 6 months of CPAP therapy, 37 patients had a good therapy adherence (usage of CPAP device >4 h per night), and their data were analyzed. The difference in nocturnal diastolic blood pressure values before and after CPAP therapy reached statistical significance (76 (68–84) vs. 74 (63–80) mmHg, p = 0.0439). Lower nocturnal values after CPAP therapy of SDNN (101.5 vs. 95 ms, p = 0.0492) and RMSSD (29.5 vs. 26 ms, p = 0.0193) were found. An increase in diurnal spectral power (1742 vs. 2112 ms2, p = 0.0282) and a decrease in nocturnal spectral power (3256 vs. 2124 ms2, p = 0.0097), nocturnal VLF band (2493 vs. 1485.4 ms2, p = 0.0176), nocturnal LF band (638.7 vs. 473 ms2, p = 0.0097), and nocturnal HF band (234.9 vs. 135.7 ms2, p = 0.0319) was found. The results showed an imbalance of the ANS with a sympathetic predominance, especially during the night hours and in those with arterial hypertension. The impact of CPAP therapy on the improvement in ANS parameters was more pronounced at night, in men, and those with arterial hypertension.