We conducted a cross-sectional study to investigate associations of particulate matter (PM) of less than 2.5 μm in aerodynamic diameter (PM2.5) and PM deposition with nocturnal changes in body composition in obstructive sleep apnea (OSA) patients. A bioelectric impedance analysis was used to measure the pre- and postsleep body composition of 185 OSA patients. Annual exposure to PM2.5 was estimated by the hybrid kriging/land-use regression model. A multiple-path particle dosimetry model was employed to estimate PM deposition in lung regions. We observed that an increase in the interquartile range (IQR) (1 μg/m3) of PM2.5 was associated with a 20.1% increase in right arm fat percentage and a 0.012 kg increase in right arm fat mass in OSA (p < 0.05). We observed that a 1 μg/m3 increase in PM deposition in lung regions (i.e., total lung region, head and nasal region, tracheobronchial region, and alveolar region) was associated with increases in changes of fat percentage and fat mass of the right arm (β coefficient) (p < 0.05). The β coefficients decreased as follows: alveolar region > head and nasal region > tracheobronchial region > total lung region (p < 0.05). Our findings demonstrated that an increase in PM deposition in lung regions, especially in the alveolar region, could be associated with nocturnal changes in the fat percentage and fat mass of the right arm. PM deposition in the alveolar region could accelerate the body fat accumulation in OSA.