Adherence to Continuous Positive Airway Pressure (CPAP) for obstructive sleep apnoea (OSA) can be improved by behavioural interventions which modify patients’ beliefs and cognitions about OSA, CPAP, and themselves. We have conducted the first systematic review of the literature on beliefs and cognitions held before starting treatment, and personality (which influences the former) that predict the decision to purchase or start CPAP, or CPAP adherence one month or more after CPAP initiation. A systematic search and screen of articles identified 21 eligible publications from an initial 1317. Quality assessment performed using an adapted Newcastle-Ottawa Scale demonstrated that 13 (62%) studies were poor quality and only seven (33%) were high quality. Eighteen factors, such as self-efficacy (confidence) in using CPAP and value placed on health predicted CPAP adherence; however, for only six (33%), utility as an intervention target is known, from calculation of individual predictive power. Studies did not use new behavioural frameworks effective at explaining adherence behaviours, nor did they interview patients to collect in-depth data on barriers and facilitators of CPAP use. Future studies cannot have these limitations if high quality evidence is to be generated for intervention development, which is currently sparse as highlighted by this review.