Introduction: Insomnia and obstructive sleep apnea represent two of the most prevalent and debilitating sleep disorders, which are often associated with adverse health-related consequences. The present study aimed to investigate the prevalence and correlates of insomnia symptoms and their associations with the risk of suicidal ideations in the patients with objectively diagnosed OSA. Materials and methods: Consecutive patients referred to the sleep assessment unit of a university-affiliated hospital completed a battery of intake questionnaire that assessed sleep-related variables and mood symptoms. Relevant clinical information and polysomnographic (PSG) data were collected and analysed. Results: The final study sample consisted of 516 patients with PSG-confirmed OSA. About 35% of the subjects reported frequently experiencing at least one type of insomnia. The prevalence of sleep onset insomnia, sleep maintenance insomnia and insomnia with early awakening was 21%, 20% and 15%, respectively. Different subtypes of insomnia were variably associated with female gender, older age, apnea–hypopnea index, and comorbid medical and neuropsychiatric disorders, as well as other sleep disorders. Subjects with insomnia complaints had poorer subjective and objective sleep quality and presented with a higher level of anxiety (p < 0.001) and depressive symptoms (p < 0.001). Insomnia symptoms were significantly associated with the presence of suicidal ideation after controlling for potential confounding factors (odds ratio = 2.00; 95% CI 1.16–3.45). Conclusion: Insomnia symptoms are commonly reported in OSA patients and are associated with a constellation of demographic and clinical factors with important prognostic and therapeutic implications. Integrated management of insomnia complaints is indicated and future studies are warranted to explore the efficacy of optimal strategies to treat comorbid insomnia and OSA.