With the acceleration of ageing process, the prevalence of obstructive sleep apnea (OSA) and heart failure (HF) has been significantly increasing. Studies show that OSA and HF are causal and mutually influential. OSA is an independent risk factor for HF, which in turn causes OSA, increasing the risk of adverse outcomes such as symptom progression, hospitalization, and death in HF. The interaction between OSA and HF is inextricably linked to upper airway obstruction and chronic intermittent hypoxia. Currently, there is no definitive diagnosis and treatment protocol for OSA-associated heart failure. Considering the pathogenesis and symptoms of both, HF treatment drugs are usually recommended to be combined with continuous positive airway pressure, the first-line treatment for OSA. In this article, we reviewed the research on OSA and HF to provide necessary references for subsequent more effective targeted treatment.