There is increasing awareness that health screening may prevent some acute coronary events. Yet, obstructive sleep apnea (OSA) is seldom screened for and its relation with coronary risk markers is not well established. Consecutive adults (n = 696) enrolled in a cardiovascular health screening program were approached to determine the feasibility of incorporating OSA screening. Screening included questionnaires and a home-based sleep study. High-sensitivity C-reactive protein was the primary coronary risk marker, and other laboratory- and exercise treadmill-based markers were also reported. Two thirds of the participants (66%) agreed to undergo OSA screening and most (78%) successfully completed the sleep study. The prevalence of OSA (apnea-hypopnea index ≥15/hour) was 38.0%. The Berlin Questionnaire (53%) and Epworth Sleepiness Scale (26%) had low sensitivity in identifying OSA. After full adjustment for age, gender, body mass index, hypertension, and diabetes mellitus, OSA remained an independent predictor of serum levels of high-sensitivity C-reactive protein (relative mean difference 1.29, 95% CI 1.03 to 1.62; p = 0.025), triglyceride (relative mean difference 1.15, 95% CI 1.03 to 1.28; p = 0.014), and exercise time (mean difference −26.4 seconds; 95% CI −51.6 to −1.2; p = 0.04). The INTERHEART Risk Score analysis suggested more participants with (31%) than without (14%, p <0.001) OSA will develop future cardiovascular events. In conclusion, based on the acceptance for OSA screening, high prevalence of OSA and independent associations between OSA and coronary risk markers, incorporation of sleep studies into cardiovascular health screening programs appears feasible.