Abstract Purpose Little is known about cognitive complaints (self-reported problems in cognitive functioning) in patients with Obstructive Sleep Apnea (OSA). We compared the prevalence and severity of cognitive complaints in patients with untreated OSA to patients with neurological and respiratory diseases. We also studied risk factors for cognitive complaints across these diseases, including OSA. Methods We used a convenience sample to compare untreated OSA patients (N = 86) to patients with stroke (N = 166), primary brain tumor (N = 197) and chronic obstructive pulmonary disease (COPD, N = 204) on cognitive complaints (Cognitive Failure Questionnaire, CFQ), anxiety and depression (Hospital Anxiety and Depression Scale, HADS) and cognitive impairments using neuropsychological tests. We combined all patient groups (OSA, stroke, brain tumor and COPD) and studied potential risk factors (demographic variables, anxiety, depression and cognitive impairments) for cognitive complaints across all patient groups using regression analysis. Results The prevalence of cognitive complaints was higher in OSA patients and complaints of forgetfulness and distractibility were more severe compared to stroke and primary brain tumor patients, but similar to or lower than COPD patients. Regression analysis for the combined sample of all patient groups showed that cognitive complaints were most strongly associated with symptoms of anxiety and depression. Conclusion A high rate of OSA reported clinically significant cognitive complaints, comparable to other respiratory and neurological patients. Symptoms of anxiety and depression are important risk factors for cognitive complaints in patients with various neurological and respiratory diseases. Future studies should examine the relation between anxiety, depression and cognitive complaints in patients with OSA.