Background: More information is needed about the effect on mortality of continuous positive airway pressure (CPAP) in patients with obstructive sleep apnea (OSA), especially in women. Methods: We employed a historical cohort study design, using data from 25,389 patients with a diagnosis of OSA selected from the Danish National Patient Registry for the period 1999–2009. We used Cox proportional hazard function to evaluate the all-cause mortality from OSA in middle-aged and elderly males and females who were treated, or not, with CPAP. Results: Female OSA patients had a lower mortality than males, irrespective of whether they received CPAP treatment. CPAP treatment improved survival, as illustrated by the hazard ratio of 0.62 (P<0.001). This effect was dependent on gender: CPAP had no significant effect on 20- to 39-year-old males and females, but the overall mortality in this age group was small. Survival was increased by CPAP in 40- to 59-year-old and ≥60-year-old males, but no such effect was observed in females. Positive predictors of survival were young age, female gender, higher educational level, and low 3-year prior comorbidity as estimated by the Charlson Comorbidity Index. Negative predictors for survival were male gender, age ≥60 years, no CPAP treatment, prior comorbidity, and low educational level. Conclusion: CPAP therapy is associated with reduced all-cause mortality in middle-aged and elderly males, but no significant effect was found in females.