Sleep apnea may contribute to depression and memory loss, but they're generally not the only cause. Better sleep may help, but probably won't completely resolve either. Depression is common with chronic conditions and to really tackle the problem, you should find a cognitive behavioral therapist who can help you identify the causes of your depression and learn ways to deal with them. As for memory loss, that's often a product of low O2 levels. A c-pap might take care of the problem for you, but you may wish to consider asking about adding O2 as well.

I have had a cpap for about 15 years for sleep apena. I feel it does help me sleep more rested. I do have to turn oxegen up at night when I use it otherwise my oxy levels drop right down. I do know it help me a lot. when I had the test I quit beathing 297 times in one night. So sure needed one. I use it in daytime if I lay down too

To really deal with the depression and anxiety, I suggest you find a Cognitive Behavioral Therapist and seek treatment. A good therapist will also be able to help you get appropriate medications if necessary to help get you started on the road to managing and controlling both the depression and the anxiety. Meds by themselves just mask the symptoms and you never learn how to cope with either, so therapy is critical. I know, I see a therapist regularly; she helps me keep my head on straight.

Will definitely get the sleep study. Till then it's like the twilight zone. I appreciate the outreach here but I probably do need more to deal with the depression and anxiety, at least temporarily.

Falling asleep isn't going to cause dementia; low O2 sats can cause brain damage. If you need O2 to sleep or if you're having multiple episodes where you actually stop breathing during sleep; those can cause brain damage. Get a sleep study.