Introduction: Recent studies have indicated that obstructive sleep apnea (OSA) is linked to a higher likelihood of heart failure (HF). However, the causal connection between the two conditions is uncertain. We aimed to investigate the causal association of OSA with HF and its risk factors. Methods: The OSA summary statistics are derived from the FinnGen database, including 38,998 cases and 336,659 controls. HF summary statistics come from HERMES, the UK Biobank, and the FinnGen database. A two-sample mendelian randomization (MR) analysis was conducted to examine the causality of OSA on HF risk. Furthermore, the mediator effect of potential risk factors was assessed by a two-step MR. Results: The results of MR analysis demonstrated that genetically determined OSA is causal associated with the higher likelihood of HF (HERME: odds ratio [OR] = 1.222; 95% confidence interval [CI]: 1.091, 1.369; p = 5.19 × 10−4) (FinnGen: OR = 1.233; 95% CI: 1.129, 1.346; p = 3.32 × 10−6) (UK Biobank: OR = 1.002; 95% CI: 1.000, 1.003; p = 0.014). Two-step MR analysis indicated that obesity, blood glucose, depression, and other CVDs have significant mediating effects on the causal effect between OSA and HF. Conclusion: This MR study emphasizes the causal effect of OSA on HF risk. Adiposity traits play a major role in the process of OSA leading to HF. Considering the detrimental impact of OSA on HF, it becomes imperative to prioritize the prevention and management of HF in individuals afflicted with OSA. The foremost intervention strategy should revolve around effective obesity management.