Patients with obstructive sleep apnoea (OSA) frequently present symptoms of depression, anxiety and insomnia and continuous positive airway pressure (CPAP) can improve these symptoms. Using a real-world administrative database, we analysed the trend of psychotropic drug use (antidepressants, anxiolytics and hypnotics) on a long-term period in OSA individuals before-after CPAP initiation. A total of 869 OSA individuals to whom psychotropic drugs were prescribed were followed for 4 years. They were matched to 2,607 non-OSA individuals, who were similar in terms of demographics, chronic diseases and care consumption. Generalized estimating equations models were used to compare psychotropic drug defined daily doses (DDD). Results showed no significant differences in mean trends of psychotropic drug DDD between OSA individuals and non-OSA matched controls during the three years following CPAP initiation. Only time had a significant effect on DDD, which decreased in both groups: −9% in Y1 and −17% in Y3, compared to Y0 (p-values < 0.0001). Hence, CPAP therapy does not result in an earlier decrease of psychotropic drug use in OSA individuals compared to non-OSA matched controls. Further studies are needed to analyse long-term psychotropic drug use, particularly in non-adherent OSA individuals.