Fatigue is a symptom present in 76 to 92% of people with multiple sclerosis (MS). Fatigue is usually described as an overwhelming sense of tiredness, lack of energy, and feeling of exhaustion which is different from sleepiness. Fatigue is also a symptom commonly seen in people with obstructive sleep apnea (OSA). The overall objective is to develop a non-pharmacological treatment for fatigue in MS. The objective of this study is to evaluate if treatment of OSA with continuous positive airway pressure (CPAP) improves fatigue in MS subjects with OSA and fatigue. This will be a small pilot randomized, double-blind, sham-controlled clinical trial; the control group will be treated with a sham-CPAP machine and intervention group will be treated with an auto-titration CPAP machine. The primary outcome measure will be improvement (decrease) in the Modified Fatigue Impact Scale from baseline. The duration of intervention will be 12 weeks to achieve a clinical response in the treatment group. After this intervention participants in both groups will be offered a referral to the sleep clinic of their preference for formal treatment as per standard of care.