The prevalence and treatment response of depression and anxiety symptoms in obstructive sleep apnoea (OSA), although widely addressed in research and clinical settings, still remain unclear due to overlapping symptoms. The ADIPOSA study sought to elucidate the presence of non-overlapping symptoms of depression and anxiety in patients with moderate to severe OSA before and after continuous positive airway pressure (CPAP) treatment. Forty-eight adults aged 18-80 (68.75% men) with moderate to severe OSA were enrolled in this twelve-week longitudinal single-arm trial and completed a full-night ambulatory sleep diagnostic test and an assessment of cognitive-affective depression and anxiety symptoms using the Beck-Depression Inventory-Fast Screen (BDI-FS), the State-Trait Depression Inventory (IDER) and the State-Trait Anxiety Inventory (STAI). We found no cognitive-affective depression or anxiety symptoms of clinical relevance at baseline. The amelioration of depression and anxiety symptoms after CPAP use was only statistically significant when considering anxiety-trait (p < 0.01; d = 0.296) and euthymia (p < 0.05; d = 0.402), the distinctive component of depression. Although dysthymia or high negative affect remained unchanged, CPAP may be effective at reducing the lack of positive affect, a well-established health-protective factor. However, not until depression and anxiety disorders related to OSA are accurately measured in clinical and research settings will it be possible to obtain robust conclusions on the occurrence and amelioration of these symptoms after treatment.