The long-term outcome is poor in patients with sleep apnea and cardiovascular disease. Polyunsaturated fatty acid (PUFA) is also known as an independent predictor for adverse clinical events. However, the profile of PUFA in sleep apnea patients with coronary artery disease (CAD) is still unclear. This study aimed to clarify the association between sleep apnea and PUFA profiles in patients with CAD. Two hundred seventy-four consecutive patients undergoing percutaneous coronary intervention (PCI) were screened for sleep apnea using nocturnal oximetry. Oxygen desaturation index down to 4% (4%ODI) ≥5 was used as an indicator of sleep apnea. Baseline characteristics, including PUFA profiles, were compared between patients with and without sleep apnea. Among 243 enrolled patients, 134 (55%) had sleep apnea. The sleep apnea group included a significantly higher rate of patients with obesity, insulin-requiring diabetes, peripheral artery disease (PAD), and a higher C-reactive protein level than the non-sleep apnea group. The sleep apnea group had a significantly lower eicosapentaenoic acid (EPA) to arachidonic acid (AA) ratio than the non-sleep apnea group (0.33 vs. 0.44, respectively, p = 0.024). Additionally, EPA value and EPA/AA ratio were significantly correlated with 4%ODI (r = −0.15, p = 0.028; r = −0.16, p = 0.019, respectively). Results of logistic regression analysis indicated that the comorbidities of obesity, PAD, heart failure and EPA/AA ratio had a significant association with sleep apnea. Our results suggested that patients with sleep apnea who underwent PCI had a lower EPA/AA ratio than those without sleep apnea, and EPA value and EPA/AA ratio were significantly correlated with 4%ODI.