Subclinical abnormalities in cardiac and vascular structure reflect the adverse effects triggered by a variety of risk factors on the cardiovascular (CV) system thereby representing an intermediate step in the cardiovascular continuum; such alterations are recognized as reliable markers of increased cardiovascular risk in different clinical settings including obstructive sleep apnea (OSA). The mechanisms underlying subclinical organ damage (OD) in the OSA setting are multifactorial. Hypoxemia and hypercapnia, induced by repeated collapses of upper airways, have been suggested to trigger a cascade of events such as activation of the sympathetic tone, renin-angiotensin-aldosterone system leading to endothelial dysfunction, vasoconstriction, myocardial and vascular remodeling, and hypertension. Furthermore, coexisting non-haemodynamic alterations such as increased oxidative stress, release of inflammatory substances, enhanced lipolysis and insulin resistance have been reported to play a role in the pathogenesis of both cardiac and extra-cardiac OD. In this article we reviewed available evidence on the association between OSA and subclinical cardiac (i.e., left and right ventricular hypertrophy, left atrial dilatation) and extracardiac organ damage (i.e., carotid atherosclerosis, arterial stiffness, microvascular retinal changes, and microalbuminuria). This association is apparently stronger for cardiac and carotid subclinical damage than for other markers (i.e., arterial stiffness and retinal changes) and mostly evident in the setting of severe OSA.