Study Objectives: The aims of this study were: (1) to use a standardized psychiatric interview, conducted by a trained psychologist to assess the prevalence of depression among patients with untreated OSA, and (2) to identify if OSA severity or other comorbid disorders (insomnia, hypertension, and diabetes) are related to depression among patients with untreated OSA. Methods: Participants were newly diagnosed patients with OSA (n = 284) waiting to start positive airway pressure (PAP) treatment. The Mini International Neuropsychiatric Interview (MINI) was used to assess depression. Results: Overall, 15.5% of the sample met the diagnosis for dysthymia. Women had a significantly higher prevalence (29.5% versus 11.7% among men, p < 0.001). The prevalence of major depression was 6% in the overall sample and there was no difference in the prevalence among sexes (5.8% among men versus 6.6 % among women). Obesity, daytime sleepiness, low physical activity, initial and late insomnia, low quality of life, and sleep medication and antidepressant use were all related to depression, whereas OSA severity, as measured by apnea-hypopnea index or oxygen desaturation index, was not. Daytime sleepiness, initial insomnia, and sleep medication use were the strongest predictors of depression in multivariable analyses. Conclusions: Sleep medication use, daytime sleepiness, and symptoms of initial insomnia were independently related to depression but OSA severity was not. Increased awareness of the relationship between depression and OSA and the appropriate use of assessment tools might substantially improve diagnostic accuracy as well as treatment outcome for both disorders.