Study Objectives: To investigate whether low levels of physical activity were associated with an increased occurrence of obstructive sleep apnea (OSA), OSA-related symptoms, and cardiometabolic risk. Methods: A case-control study design was used. OSA cases were patients referred to a sleep clinic for suspected OSA (n = 2,340). Controls comprised participants from the Busselton community (n = 1,931). Exercise and occupational activity were derived from questionnaire data. Associations were modelled using logistic and linear regression and adjusted for confounders. Results: In comparison with moderate exercise, the high, low, and nil exercise groups had an odds ratio (OR) for moderate-severe OSA of 0.6 (95% CI 0.5-0.8), 1.6 (95% CI 1.2-2.0), and 2.7 (95% CI 1.9-3.7), respectively. Relative to men in heavy activity occupations, men in medium, light and sedentary occupations had an OR for moderate-severe OSA of 1.7 (95% CI 1.1-2.5), 2.1 (95% CI 1.4-3.2), and 1.8 (95% CI 1.2-2.8), respectively. Relative to women in medium activity occupations, women in light and sedentary occupations had an OR for moderate-severe OSA of 4.2 (95% CI 2.6-7.2) and 3.5 (2.0-6.0). OSA patients who adequately exercised had lower: levels of doctor-diagnosed depression (p = 0.047); symptoms of fatigue (p <0.0001); systolic (p = 0.015) and diastolic blood pressure (p = 0.015); and C-reactive protein (CRP) (p = 0.003). Conclusions: Low levels of physical activity were associated with moderate-severe OSA. Exercise in individuals with OSA is associated with lower levels of depression, fatigue, blood pressure and CRP.