Obstructive sleep apnea (OSA), often overlooked by clinicians, may lead to negative outcomes if left untreated. In this study, we examined the efficacy and efficiency of a 12-week unsupervised tele-rehabilitation program in OSA patients and focused on the potential changes in their fitness indicators and oxidative status. Forty OSA patients were allocated into two groups: the CPAPgroup (AHI 52.0 ± 31.5 events/h; age, 49.7 ± 9.4 years; BMI, 32.1 ± 7.6 kg/m2; control group) versus the non-CPAPgroup (AHI 38.2 ± 21.5 events/h; age, 49.3 ± 10.7 years; BMI, 32.3 ± 5.1 kg/m2; intervention group; personalized recommendations for nutrition—based on the Mediterranean diet—and exercise programs). Measurements included anthropometric characteristics and body composition through whole-body bioelectrical impedance analysis. In addition, participants underwent blood sampling for reactive oxygen metabolites’ levels (d-ROM), plasma antioxidant capacity (PAT), and Lipoprotein (a) (Lp(a)), as well as a 6 min walk test (6MWT). Statistically significant differences were detected in both groups (CPAPgroup versus non-CPAPgroup) after 12 weeks between Lp(a) (−32.2 ± 25.5%, p = 0.021 versus −17.7 ± 16.3%, p = 0.034) and 6MWT (16.6 ± 9.3%, p < 0.001 versus 7.5 ± 6.6%, p = 0.002). ΔNRO2 (oxygen saturation difference between nadir during sleep and resting awake) was significantly associated with d-ROMs levels (p = 0.045), resting mean arterial pressure (p = 0.024), and chest circumference in maximal inhalation and exhalation (Δchest, p < 0.001). To conclude, lifestyle interventions with unsupervised tele-exercise-rehabilitation pulmonary programs and Mediterranean-like diet may serve as adjunctive-to-CPAP therapeutic elements.