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Obstructive sleep apnea (OSA) is associated with impaired health-related quality of life (HRQL). Treatment with continuous positive airway pressure (CPAP) has variable impacts on HRQL, and this may be influenced by patient's tolerance of therapy. The objective is to determine the impact of nocturnal supplemental oxygen (NSO) and CPAP on HRQL compared with healthy lifestyle education (HLSE) in individuals with OSA.Patients with coronary heart disease (CHD) or at least 3 major CHD risk factors with apnea-hypopnea index of 15 to 50 events/h were randomized to CPAP, NSO, or HLSE. Health-related quality of life was assessed using the Short-Form 36, and depression was assessed with Patient Health Questionnaire-9 at baseline and 12 weeks. The treatment effect on HRQL change scores through 12 weeks was assessed using multivariable models adjusting for study site, presence of CHD at baseline, race, and baseline HRQL.A total of 318 patients were randomized to 1 of 3 treatment arms with 1:1:1 ratio and 94% completed baseline and follow-up HRQL instruments. Mean Short-Form 36 scores were similar at baseline in all 3 groups ranging from 41.8 ± 12 to 51.6 ± 12 in various domains. In multivariable models, the CPAP group noted a significantly greater improvement than NSO in mental health (+2.33, 95% CI 0.34-4.31, P = .02) and mental composite score (+2.40, 95% CI 0.40-4.41, P = .02). Conversely, the CPAP group noted less improvement than NSO in physical function (−2.68, 95% CI −4.66 to −0.70, P = .008) and physical composite score (−2.17, 95% CI −3.82 to −0.51, P = .01). Compared with HLSE, vitality and Patient Health Questionnaire-9 improved with CPAP but not with NSO. Significant interactions were noted between treatment effects with larger differences in black and sleepy patients.These data support the use of CPAP for improving vitality, sleepiness, mental health, social functioning, and depressive symptoms in patients with OSA and established CHD or risk factors. Nocturnal supplemental oxygen may have beneficial effects on perceived physical functioning.