People with obstructive sleep apnea (OSA) often have psychological symptoms including depression and anxiety, which are commonly treated with anti-depression or anti-anxiety interventions. Psychological stress is a related symptom with different intervention targets that may also improve mental state, but this symptom is not well characterized in OSA. We therefore aimed to describe stress in relation to other psychological symptoms. We performed a prospective cross-sectional study of 103 people, 44 untreated OSA (mean ± s.d. age: 51.2 ± 13.9 years, female/male 13/31) and 57 healthy control participants (age: 46.3 ± 13.8 years, female/male 34/23). We measured stress (Perceived Stress Scale; PSS), excessive daytime sleepiness (Epworth Sleepiness Scale; ESS), depressive symptoms (Patient Health Questionnaire; PHQ-9), and anxiety symptoms (General Anxiety Disorder; GAD-7). We compared group means with independent samples t-tests and calculated correlations between variables. Mean symptom levels were higher in OSA than control, including PSS (mean ± s.d.: OSA = 15.3 ± 6.9, control = 11.4 ± 5.5; P = 0.002), GAD-7 (OSA = 4.8 ± 5.0, control = 2.1 ± 3.9; P = 0.02), PHQ-9 (OSA = 6.9 ± 6.1, control = 2.6 ± 3.8; P = 0.003) and ESS (OSA = 8.1 ± 5.3, control = 5.0 ± 3.3; P = 0.03). Similar OSA-vs-control differences appeared in males, but females only showed significant differences in PHQ-9 and ESS, not PSS or GAD-7. PSS correlated strongly with GAD-7 and PHQ-9 across groups (R = 0.62-0.89), and moderately with ESS. Perceived stress is high in OSA, and closely related to anxiety and depressive symptoms. The findings support testing stress reduction in OSA.