Purpose: Sleep apnoea (SA) is associated with accelerated cognitive decline in patients with mild cognitive impairment (MCI). Treatment of SA by continuous positive airway pressure (CPAP) may slow this decline if patients comply with the treatment. The aim of this study was to assess the rate of CPAP compliance in this population. Methods: In this single-centre retrospective study conducted in a tertiary care institution, patients with a diagnosis of MCI and SA initiating CPAP between January 2015 and August 2021 were included. Data from the initial sleep recording, the 3-month follow-up and compliance with at least 12 months of CPAP were analysed. Compliance was defined as an average CPAP use of at least 4 h per night. Results: 55 patients were included (49% women, age 70.7 ± 8.9 years, body mass index 28.9 ± 6.5 kg/m2). Aetiology of MCI was vascular (45.5%), psychiatric (12.7%) and related to Alzheimer's disease (7.3%), with 47.3% of amnesic disorders and 45.5% of dysexecutive disorders. The MiniMentalState score was 26.7 ± 3.1. SA was mostly obstructive (81.8%) with a mean apnoea-hypopnoea index of 41.1 ± 16.4/h. At 3 months, 38 patients were compliant (69%) with a CPAP median use of 5.9 h per night and 83% of nights. Self-reported tolerance was better in compliant patients (75.7% vs 38.5% p = 0.017). Thirty-four patients remained compliant at 12 months (62%). Conclusion: Our results suggest a high rate of CPAP compliance in patients suffering from MCI. Compliance was related to the device tolerance, emphasizing the need to closely monitor and improve this factor.