Background: Both lower urinary tract symptoms (LUTS) and excessive daytime sleepiness (EDS) could negatively impair the patients’ quality of life, increasing the sensitivity to psychological distress that results in mental health disorders. The relationships of both urinary and respiratory domains with psychological distress in obstructive sleep apnea patients is still underestimated. Methods: This study was a post hoc analysis of a web-based Italian survey, which included 1998 participants. Three hierarchical multiple linear regression analyses with psychological distress as dependent variable were performed on the study of 1988 participants enrolled in the final analysis. Cohen’s f2 was used for the assessment of the effect size. Results: From the hierarchical multiple linear regression analyses, it emerged that the final statistical model (including sociodemographic characteristics, comorbidities, perceived urinary function, and excessive daytime sleepiness) for all dimensions accounted for 16.7% of the variance in psychological distress, with a medium effect size (f2 = 0.15). Conclusions: People reported psychological distress was impaired by the presence of LUTS and EDS. Specifically, our study showed that higher levels of distress were scored especially in young women exhibiting urinary symptoms and with high values of daytime sleepiness.