Introduction Obstructive sleep apnea patients may develop deficits in the cognitive domains of attention, concentration, executive function, verbal and visuospatial memory, constructional abilities, and psychomotor functioning. As cognitive performance will improve with the treatment, early screening for cognitive dysfunction should be done to prevent further deterioration. Objective We aim to evaluate the cognitive function of obstructive sleep apnea patients by using the ‘Mini Mental State Examination’. Methodology This was a cross sectional study to evaluate the cognitive function of moderate and severe obstructive sleep apnea patients with age ranged from 18 to 60 old who attended our sleep clinic. These patients were confirmed to have moderate and severe obstructive sleep apnea by Type 1 polysomnography (attended full overnight study). The age, gender and ethnicity were noted and other relevant data such as weight, height, body mass index and apnea and hypopnoea index were recorded accordingly. The cognitive function was evaluated using validated Malay version of Mini Mental State Examination which measured 5 areas of cognitive functions comprising orientation, registration, attention and calculation, word recall and language abilities, and visuospatial. Results A total of 38 patients participated in this study. All 19 patients of moderate group and 14 patients of severe group had normal cognitive function while only 5 patients in severe group had mild cognitive function impairment. There was a statistically significant difference between the moderate group and severe group on cognitive performance (p value = 0.042). Conclusions Severe obstructive sleep apnea patients may have impaired cognitive function. Mini Mental State Examination is useful in the screening of cognitive function of obstructive sleep apnea patients but in normal score, more sophisticated test batteries are required as it is unable to identify in ‘very minimal’ or ‘extremely severe’ cognitive dysfunction.