Background: The mechanisms underlying cognitive impairment in obstructive sleep apnea syndrome (OSAS) remain incompletely understood. In particular, the relative contribution of daytime sleepiness versus the direct effects of hypoxia on the brain requires clarification. Objectives: This study aims to explore the association between verbal memory and problem-solving abilities, OSAS severity, self-reported daytime sleepiness, and neurofilament light chain (NfL) serum concentration, as marker of neuroaxonal injury possibly related to chronic hypoxia. Methods: In this cross-sectional study, cognitive performance was assessed in 72 patients with mild to severe OSAS using the Selective Reminding Test (SRT) and the Tower of London (ToL). The apnea–hypopnea index (AHI), the Epworth Sleepiness Scale (ESS) and serum NfL concentrations were collected. Hierarchical multiple linear regression analyses adjusting for age, years of education, body mass index, and duration of continuous positive airway pressure (CPAP) treatment, were conducted for each cognitive outcome. Results. Neither AHI, ESS scores nor serum NfL concentrations were significantly associated with verbal memory or problem-solving performance. Higher age and lower education were significant predictors of lower verbal memory indices, whereas longer CPAP treatment duration was positively correlated with verbal memory performance and problem-solving speed. Conclusions: In this sample, cognitive performance was more strongly related to demographic factors and CPAP exposure compared to disease severity, subjective sleepiness, or peripheral markers of neuroaxonal injury. These findings suggest that AHI, subjective measures of sleepiness and NfL may inadequately capture neurocognitive vulnerability in OSAS. Moreover, they underscore the imperative for longitudinal and larger studies to clarify mechanisms linking OSAS and cognitive impairments.