Objective and background: Impaired cerebral blood flow and cerebrovascular reactivity to hypercapnia during wakefulness at rest as well as reduced exercise tolerance have been reported in severe obstructive sleep apnea (OSA) patients. Impaired cerebral oxygenation and hemodynamics can contribute to reduced exercise performance. We hypothesized that (i) OSA patients show impaired cerebrovascular response both during exercise and in response to hypercapnia together with reduced exercise tolerance and (ii) continuous positive airway pressure (CPAP) treatment improves these alterations in cerebral oxygenation. Methods: Fifteen OSA patients and 12 healthy matched controls performed a hypercapnic response test and a maximal cardiopulmonary exercise test before and after eight weeks of CPAP treatment or control period. Prefrontal cortex and muscle oxygenation were assessed by near-infrared spectroscopy (NIRS) during both tests. Results: Cerebrovascular reactivity to hypercapnia was impaired in OSA patients (lower increase in oxyhemoglobin [0.29 ± 0.19 vs 0.44 ± 0.14 $μ$mol mmHg−1] and total hemoglobin [0.14 ± 0.15 vs 0.26 ± 0.09 $μ$mol mmHg−1]) compared to controls. Reduced prefrontal cortex oxygen extraction and total blood volume (ie, lower increase in deoxyhemoglobin [1.76 ± 1.57 vs 3.43 ± 2.08 $μ$mol] and total hemoglobin [5.36 ± 7.08 vs 8.55 ± 5.13 $μ$mol at exhaustion], respectively) during exercise together with a reduced exercise tolerance (ie, lower peak oxygen consumption) were observed in OSA patients compared to controls. CPAP treatment did not induce any improvement in cerebrovascular response during hypercapnic response test and exercise. Conlusions: This study demonstrates that cerebrovascular response to exercise is altered in OSA and may contribute to exercise intolerance in these patients. Prefrontal cortex oxygenation and exercise tolerance are not significantly improved following eight weeks of CPAP treatment. Clinical trial registration: NCT02854280.