Obstructive sleep apnea (OSA) is a prevalent disorder with multiple consequences, including negative effects on neurocognitive function. Several domains of cognitive function are impaired in OSA patients, but the mechanisms through which this sleep disorder results in impairment are not clear. Given the well known effects of cortisol on cognitive function the dysregulating effects of OSA on cortisol levels is hypothesized as a potential pathway leading to cognitive impairment. Fifty-five participants with OSA (mean Apnea–Hypopnea Index (AHI) = 30.3) were assessed over 2 days. Over a 24 h period, blood was collected every 2 h for cortisol determination. The following night, sleep was monitored with polysomnography. Subjects were given a battery of neurocognitive tests, which assessed seven cognitive domains. OSA severity assessed by oxygen desaturation index (ODI) was associated with 24-h cortisol levels. AHI, ODI and nighttime cortisol levels were associated with global deficit scores (GDS) in cognitive functioning, particularly in domains of learning, memory and working memory. Hierarchical linear regression analysis revealed that nighttime cortisol accounted for 14–20% of variance in learning, memory and working memory domains, while apnea severity did not significantly predict any additional variance.