Aim: The aim of the study is to understand the role of anxiety and depression in obstructive sleep apnea (OSA) patients. Patients and Methods: This prospective, observational study was conducted at King George's Medical University, Lucknow, Uttar Pradesh, India, from September 2011 to August 2012. Seventy-one patients were enrolled in the study after obtaining informed written consent. Polysomnography (PSG) was performed to confirm OSA, and the psychiatric features were determined using the Hospital Anxiety and Depression Scale score. Results: A total of 71 individuals were enrolled in the study, and after exclusion, 48 individuals had participated in PSG. Of the 48 patients, 44 (91.67%) had shown OSA with PSG. From 44 OSA-diagnosed patients, 10 (22.73%) patients were diagnosed of having psychiatric manifestations (50% with depression, 30% with anxiety, and 20% having features of both depression and anxiety). No significant difference was found in between those with psychiatric features than that those without in body mass index (mean ± standard deviation [SD]: 32.38 ± 7.17 and 31.64 ± 3.93, P = 0.610), Epworth's sleepiness scale score (mean ± SD: 13.20 ± 4.71 and 11.88 ± 5.63, P = 0.505), apnea/hypopnea index (mean ± SD: 48.01 ± 31.71 and 37.81 ± 22.84, P = 0.263), average saturation (mean ± SD: 92.19 ± 4.37 and 91.74 ± 4.38, P = 0.774), and lowest saturation (mean ± SD: 74.50 ± 11.97 and 74.32 ± 11.97, P = 0.968), respectively. Conclusion: Although patients with OSA must be screened for psychiatric manifestations, the severity of OSA is not directly related to the severity of psychiatric features.