Background: Obstructive Sleep Apnea (OSA) syndrome is a respiratory sleep disorder characterized by partial or complete episodes of upper airway collapse with reduction or complete cessation of airflow. Although the connection remains debated, several mechanisms such as intermittent hypoxemia, sleep deprivation, hypercapnia disruption of the hypothalamic–pituitary–adrenal axis have been associated with poor neurocognitive performance. Different treatments have been proposed to treat OSAS patients as continuous positive airway pressure (CPAP), mandibular advancement devices (MAD), surgery; however, the effect on neurocognitive functions is still debated. This article presents the effect of OSAS treatments on neurocognitive performance by reviewing the literature. Methods: We performed a comprehensive review of the English language over the past 20 years using the following keywords: neurocognitive performance and sleep apnea, neurocognitive improvement and CPAP, OSAS, and cognitive dysfunction. We included in the analysis papers that correlated OSA treatment with neurocognitive performance improvement. All validated tests used to measure different neurocognitive performance improvements were considered. Results: Seventy papers reported neurocognitive Performance improvement in OSA patients after CPAP therapy. Eighty percent of studies found improved executive functions such as verbal fluency or working memory, with partial neural recovery at long-term follow-up. One article compared the effect of MAD, CPAP treatment on cognitive disorders, reporting better improvement of CPAP and MAD than placebo in cognitive function. Conclusions: CPAP treatment seems to improve cognitive defects associated with OSA. Limited studies have evaluated the effects of the other therapies on cognitive function.