Obstructive sleep apnoea (OSA) is associated with increased insulin resistance. Triglyceride-glucose index (TyG) is a simple marker of insulin resistance; however, it has been investigated only by two studies in OSA. The aim of this study was to evaluate TyG in non-diabetic, non-obese patients with OSA. A total of 132 patients with OSA and 49 non-OSA control subjects were included. Following a diagnostic sleep test, fasting blood was taken for the analysis of the lipid profile and glucose concentrations. TyG was calculated as ln(triglyceride [mg/dL] × glucose [mg/dL]/2). Comparison analyses between OSA and control groups were adjusted for age, gender, body mass index (BMI) and smoking. TyG was higher in men (p < 0.01) and in ever-smokers (p = 0.02) and it was related to BMI (ρ = 0.33), cigarette pack-years (ρ = 0.17), apnoea–hypopnoea index (ρ = 0.38), oxygen desaturation index (ρ = 0.40), percentage of total sleep time spent with oxygen saturation below 90% (ρ = 0.34), and minimal oxygen saturation (ρ = −0.29; all p < 0.05). TyG values were significantly higher in OSA (p = 0.02) following adjustment for covariates. OSA is independently associated with higher TyG values which are related to disease severity in non-obese, non-diabetic subjects. However, the value of TyG in clinical practice should be evaluated in follow-up studies in patients with OSA.