Objective Obstructive sleep apnea (OSA) is very common in Parkinson's disease (PD). OSA is known to affect patients' cognition. The present study assessed whether PD patients with OSA (PD + OSA) score lower on cognitive measures than those without OSA (PD − OSA). In addition, this study evaluated whether treating the OSA with continuous positive airway pressure (CPAP) in PD + OSA patients results in an improved cognitive functioning. Methods Eighty-six patients with PD underwent an overnight polysomnography screen for OSA and were administered the Mini-Mental Status Exam (MMSE) and the Montreal Cognitive Assessment (MoCA). This resulted in 38 patients with PD + OSA who were randomly assigned to receive either therapeutic CPAP for 6 weeks (n = 19) or placebo CPAP for three weeks followed by therapeutic CPAP for three weeks (n = 19). Intervention participants completed a neurocognitive battery at baseline and 3- and 6-week time-points. Results Patients with PD + OSA scored significantly lower than PD − OSA on the MMSE and MoCA after controlling for age, education, and PD severity. OSA was a significant predictor of cognition (MMSE p < 0.01; MoCA p = 0.028).There were no significant changes between groups in cognition when comparing three weeks of therapeutic CPAP with 3 weeks of placebo CPAP. Comparisons between pre-treatment and 3-week post-therapeutic CPAP for the entire sample also revealed no significant changes on overall neuropsychological (NP) scores. Conclusions Findings suggest that PD patients with OSA show worse cognitive functioning on cognitive screening measures than those without OSA. However, OSA treatment after three or six weeks of CPAP may not result in overall cognitive improvement in patients with PD.