Obstructive sleep apnea (OSA) is a recognized risk factor for the development of diabetic kidney disease (DKD). Our objectives were to compare the urinary albumin–creatinine ratio (UACR) and estimated glomerular filtration rate (eGFR) of patients with DKD according to OSA severity, and to evaluate the contribution of sleep parameters to their renal function. In a multicenter, observational, cross-sectional study, 214 patients with DKD were recruited. After a sleep study, UACR and eGFR were measured, as well as serum creatinine, fasting glucose, glycated hemoglobin, insulin resistance, lipid profile and C-reactive protein. UACR was higher in severe OSA patients (920 ± 1053 mg/g) than in moderate (195 ± 232 mg/g, p < 0.001) or mild OSA/non-OSA subjects (119 ± 186 mg/g, p < 0.001). At the same time, eGFR showed an OSA severity-dependent reduction (48 ± 23 vs. 59 ± 21 vs. 73 ± 19 ml/min per 1.73 m2, respectively; p < 0.001). Apnea–hypopnea index (AHI and desaturation index (ODI) were identified as independent predictors for UACR and eGFR, respectively. Therefore, in patients with DKD under optimized treatment, severe OSA is associated with a higher UACR and a lower eGFR, reflecting an additional contribution to the impairment of their renal function, although no causality can be inferred.