Asthma and obstructive sleep apnea are complex diseases that significantly impact the health-related quality of life and overall health status of patients. Recent evidence points towards an increased prevalence of obstructive sleep apnea in asthmatic patients, especially in those with severe and uncontrolled asthma, potentially leading to worse asthma control with increased symptoms, diminished health status and more frequent exacerbations. The mechanisms underlying this association are not fully elucidated. However, because obstructive sleep apnea is treatable, screening for sleep disorders should be considered in patients with severe asthma and uncontrolled disease. The efficacy and implications of treatment with continuous positive airway pressure to improve asthma control remain unclear, although there are some promising results showing improved asthma outcomes. Further research is needed to enlighten the relationship between asthma and obstructive sleep apnea, and to better define the role of continuous positive airway pressure therapy in improving asthma control and outcomes in comorbid patients with asthma and obstructive sleep apnea. Here we review the state-of-the-art in this field.