The Obstructive Sleep Apnea Syndrome (OSAS) significantly impacts cognitive functioning. The prolonged use (more than 3 months) of ventilotherapy with continuous positive airway pressure (CPAP) seems to have positive effects in restoring cognitive difficulties. However, there is poor evidence about its possible short-term effect. We investigated whether the short use (less than 15 days at testing) of CPAP improved the cognitive functioning in fifty individuals with OSAS by collecting retrospective neuropsychological measures about verbal memory and learning, information processing speed, attention (i.e., alerting, orienting, and executive system), and executive functions (i.e., strategic reasoning, problem-solving, and mental planning). The predictive role of days of CPAP use on the neuropsychological scores was assessed by hierarchical multiple linear regression analyses, over and above the possible role of demographics, body mass index, level of OSAS severity, and the level of anxiety and depression. The average number of days since CPAP adaptation was 4.70 (SD = 3.90; range = 0–15). As the days of CPAP adaptation increased, verbal learning and long-term memory significantly improved, contrary to the other assessed domains. Our results show a significant improvement in some cognitive functions even after a short treatment with CPAP, pointing to the importance of the early use of ventilotherapy to rapidly improve cognitive functioning. Identifying which cognitive functions can or cannot be restored with CPAP use may enable the design of complementary neuropsychological interventions focused on those residual difficulties, possibly enhancing patients’ compliance to the treatment.