Obstructive Sleep Apnoea (OSA) is a common sleep disorder associated with significant health, quality of life and psychosocial problems. The aims of this review are to investigate the contribution of psychological constructs and theory to the assessment and treatment of OSA. Adherence to CPAP treatment remains a primary concern for improving treatment outcomes for OSA. Modifiable, psychological constructs of self-efficacy, coping, social support, treatment satisfaction and self-reported daytime sleepiness improve the prediction of CPAP adherence. These predictors are particularly robust in the context of a theoretical model. Social Cognition Theory (SCT) and Health Belief Model (HBM) are emerging as promising psychological models for understanding patient acceptance and adherence to CPAP treatment. An overview of psychologically informed interventions for CPAP use is presented. Education-based interventions have promise, but the strongest and robust findings are emerging from theory-driven interventions. Specifically, Cognitive-Behaviourally informed interventions and Motivational Interventions demonstrate consistent and large effect sizes in improving CPAP adherence rates.