Morning headaches (MHs) are a recognized but incompletely understood symptom in obstructive sleep apnea (OSA). Because symptoms and comorbidities that commonly coexist with OSA may influence both headache susceptibility and perceived sleep quality, the respective contributions of respiratory abnormalities and sleep disruption to MHs remain uncertain, particularly in women. We therefore aimed to identify clinical and sleep study factors associated with frequent MHs in patients with OSA. In this retrospective cohort study, 3227 adults with confirmed OSA evaluated between 2013 and 2023 were classified according to MH frequency (<1 episode/week vs. ≥1 episode/week). Demographic, clinical, questionnaire and sleep study variables were analyzed using univariate and multivariable logistic regression. Frequent MHs were reported by 35.2% of patients. On univariate analysis, MHs were associated with female sex, higher body mass index and waist circumference, greater OSA severity, worse nocturnal oxygenation, fatigue, excessive daytime sleepiness, and insomnia symptoms. However, in multivariable analysis restricted to patients with complete polysomnographic data (N = 501), female sex (OR 4.23, 95% CI 1.39–12.85), waist circumference (OR 1.03, 95% CI 1.01–1.06), and arousal index (OR 1.05, 95% CI 1.01–1.08) emerged as independent predictors, whereas conventional respiratory severity indices did not. These findings suggest that sleep fragmentation, rather than OSA severity alone, may be a key determinant of MHs, particularly in women, underscoring the need for sex-specific approaches beyond apnea–hypopnea index-based assessment.