The treatment of choice for obstructive sleep apnoea (OSA) is continuous positive airway pressure therapy (CPAP). Since its introduction in clinical practice, CPAP has been used in various clinical conditions with variable and heterogeneous outcomes. In addition to the well-known effects on the upper airway CPAP impacts on intrathoracic pressures, haemodynamics and blood pressure (BP) control. However, short- and long-term effects of CPAP therapy depend on multiple variables which include symptoms, underlying condition, pressure used, treatment acceptance, compliance and usage. CPAP can alter long-term cardiovascular risk in patients with cardiorespiratory conditions. Furthermore, the effect of CPAP on the awake patient differs from the effect on the patients while asleep, and this might contribute to discomfort and removal of the use interface. The purpose of this review is to highlight the physiological impact of CPAP on the cardiorespiratory system, including short-term benefits and long-term outcomes.