Obstructive sleep apnea (OSA) is associated with significant cardiovascular morbidity and excess in mortality. Atherosclerosis has been shown to occur in OSA patients free of any other significant risk factors. In particular, intima media thickness, an early marker of atherosclerosis, may be increased at the carotid level in OSA. Thus, early atherosclerosis could be one of the intermediary mechanisms supporting the link between OSA and cardiovascular morbidity. The current concept is that the development of atherosclerotic lesions results from a dynamic interplay between the native cells of the vasculature and different proinflammatory leukocytes issued from the general circulation. Immunoinflammatory cells dominate early atherosclerotic processes, with the secretion of several proinflammatory molecules aggravating lesion progression. There is now substantial evidence that intermittent hypoxia in rodents, as a partial model of sleep apnea, triggers atherogenesis. Blood pressure alterations and hemodynamic strains on the vascular wall, impairment in vascular reactivity, lipid metabolism dysregulation, and activation of proinflammatory transcription factors at the vascular wall level are among the key factors promoting atherosclerosis. Specifically, increases in leukocyte rolling and adhesion molecule expression at the endothelial cell level have been shown to occur in the first 2 weeks after intermittent hypoxia exposure initiation. Early changes at the vascular wall level have been shown in OSA patients and its reversibility under continuous positive airway pressure has also been suggested. Several biological markers potentially linked with early atherosclerosis development are under study in OSA patients. Further studies are needed to identify at-risk subjects prone to develop vascular changes because OSA treatment may either be initiated earlier or combined with specific drug treatments.