Obstructive sleep apnea (OSA) is a recognized risk factor for the development of diabetic kidney disease (DKD). Our objectives were to compare the urinary albumin-creatinine ratio (UACR) and estimated glomerular filtration rate (eGFR) of patients with DKD according to OSA severity, and to evaluate the contribution of sleep parameters to their renal function. In a multicenter, observational, cross-sectional study, 214 patients with DKD were recruited. After a sleep study, UACR and eGFR were measured, as well as serum creatinine, fasting glucose, glycated hemoglobin, insulin resistance, lipid profile and C-reactive protein. UACR was higher in severe OSA patients (920 ± 1053 mg/g) than in moderate (195 ± 232 mg/g, p < 0.001) or mild OSA/non-OSA subjects (119 ± 186 mg/g, p < 0.001). At the same time, eGFR showed an OSA severity-dependent reduction (48 ± 23 vs. 59 ± 21 vs. 73 ± 19 ml/min per 1.73 m2, respectively; p < 0.001). Apnea-hypopnea index (AHI and desaturation index (ODI) were identified as independent predictors for UACR and eGFR, respectively. Therefore, in patients with DKD under optimized treatment, severe OSA is associated with a higher UACR and a lower eGFR, reflecting an additional contribution to the impairment of their renal function, although no causality can be inferred.