Objective/Background: Evaluate the impact of excessive daytime sleepiness (EDS) severity on burden of illness among adults with obstructive sleep apnoea (OSA) in European Union 5 (EU5) countries (France, Germany, Italy, Spain, United Kingdom). Patients/Methods: This retrospective observational study used data from the 2017 EU5 National Health and Wellness Survey, a self-administered, internet-based, non-screening survey. Respondents who self-reported both having experienced OSA in the last 12 months and having had their OSA diagnosed by a physician were considered to have OSA. Respondents completed the Epworth Sleepiness Scale (ESS) and were consequently categorised into 4 groups: OSA-with-EDS (ESS >10) subdivided by EDS severity (mild [ESS = 11–12], moderate [ESS = 13–15], severe [ESS = 16–24]), and OSA-without-EDS (ESS ≤10). Bivariate and multivariable analyses examined group differences in health-related quality of life (HRQoL), work productivity and activity impairment, and health care utilisation. Results: The analysis included 2008 respondents with OSA: n = 661 (32.9%) with EDS (29.5% mild, 34.5% moderate, 36.0% severe) and n = 1347 without EDS. Compared with the OSA-without-EDS group, the OSA-with-EDS subgroups generally had higher rates of obesity, depression, and other reported comorbidities. Greater severity of EDS was associated with worse self-reported HRQoL (all domains, P < 0.001) and work productivity and activity impairment (absenteeism, P = 0.031; presenteeism, overall work impairment, and non–work activity impairment, P < 0.001), as well as increased numbers of health care provider visits (P < 0.001). Conclusions: Compared to patients with OSA but without EDS, those with EDS had substantially higher socioeconomic and humanistic burden of disease, which was more profound among those reporting greater EDS.