The aim of this study was to evaluate the effect of a 4-week respiratory muscle training (RMT) intervention versus continuous positive airway pressure (CPAP) on cardiorespiratory parameters and cognitive function in patients with OSA. Twenty-eight male patients with OSA were divided into two groups (RMT_group n = 14 and CPAP_group n = 14) and we recorded cardiopulmonary parameters and completed the questionnaires for cognitive impairment (MoCA) and sleep quality (PSQI) before and after 4 weeks. We observed differences before and after the intervention in cardiopulmonary parameters: RMT_group: breathing reserve (p < 0.001) and oxygen breathing (p = 0.002), at the end of the exercise test and pulse-respiratory quotient at rest (p < 0.001), end of exercise (p = 0.020), and recovery (p < 0.001), mean arterial pressure (RMT_groupp = 0.035, CPAP_groupp = 0.032); cognitive function assessment: RMT_group: 7% improvement in MoCA_score (p < 0. 001). and in the attention–working memory domain by 13% (p = 0.001), CPAP_group: improvement in the short-term memory recall domain by 28% (p = 0.001) and in the visuospatial domain by 18% (p = 0.027); sleep quality scores: RMT_group: 22% improvement in PSQI_score (p = 0.013), and 50% reduction in ‘cannot breathe comfortably’ domain (p = 0.013), CPAP_group: 31% increase in ‘waking in the middle of the night or early in the morning’ domain (p = 0.044). Our findings support the implementation of RMT programs in patients with OSA as an effective and beneficial practice to promote exercise and reduce symptoms of sleep disturbance.