Background: Effective treatments for obstructive sleep apnoea (OSA) include positive pressure, weight loss, oral appliances, surgery, and exercise. Although the involvement of the respiratory muscles in OSA is evident, the effect of training them to improve clinical outcomes is not clear. We aimed to determine the effects of respiratory muscle training in patients with OSA. Methods: A systematic review was conducted in seven databases. Studies that applied respiratory muscle training in OSA patients were reviewed. Two independent reviewers analysed the studies, extracted the data and assessed the quality of evidence. Results: Of the 405 reports returned by the initial search, eight articles reporting on 210 patients were included in the data synthesis. Seven included inspiratory muscle training (IMT), and one included expiratory muscle training (EMT). Regarding IMT, we found significant improvement in Epworth sleepiness scale in −4.45 points (95%CI −7.64 to −1.27 points, p = 0.006), in Pittsburgh sleep quality index of −2.79 points (95%CI −4.19 to −1.39 points, p < 0.0001), and maximum inspiratory pressure of −29.56 cmH2O (95%CI −53.14 to −5.98 cmH2O, p = 0.01). However, the apnoea/hypopnea index and physical capacity did not show changes. We did not perform a meta-analysis of EMT due to insufficient studies. Conclusion: IMT improves sleepiness, sleep quality and inspiratory strength in patients with OSA.