Obstructive sleep apnoea (OSA) is highly prevalent in mild cognitive impairment (MCI) and Alzheimer’s disease (AD). The gold standard treatment for OSA is continuous positive airway pressure (CPAP). Long-term, well-powered efficacy trials are required to understand whether CPAP could slow cognitive decline in individuals with MCI/AD, but its tolerability in this group remains uncertain. The present review investigates CPAP adherence among individuals with OSA and MCI/AD. Electronic searches were performed on 8 databases. The Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) guidelines were followed. Six independent studies and four secondary analyses included 278 unique participants (mean age = 72.1 years). In five of the retained studies, around half of participants (45% N = 85 MCI, 56% N = 22 AD) were adherent to CPAP, where ≥4 h use per night was considered adherent. Three of the retained studies also reported average CPAP use to range between 3.2 and 6.3 h/night. CPAP adherence in individuals with MCI and AD is low, albeit similar to the general elderly population. Reporting adherence in future studies as both average duration as well as using a binary cut-off would improve our understanding of the optimum CPAP use in dementia clinical trials and care.