Cognitive impairment related to obstructive sleep apnea might be explained by subtle changes in brain anatomy. This has been mainly investigated using magnetic resonance brain scans coupled with a voxel-based morphometry analysis. However, this approach is prone to several methodological pitfalls that may explain the large discrepancy in the results reported in the literature. We critically reviewed twelve papers addressing grey matter volume modifications in association with obstructive sleep apnea. Finally, based on strict methodological criteria, only three studies reported robust, but conflicting, results. No clear evidence has emerged and exploring brain alteration due to obstructive sleep apnea should thus be considered as an open field. We provide recommendations for designing additional robust voxel-based morphometry studies, notably the use of larger cohorts, which is the only way to solve the under-powered issue and the underestimated role of confounders in neuroimaging studies.