Obstructive sleep apnea (OSA) is a common disorder in which individuals stop breathing during their sleep. These episodes last 10 seconds or more and cause oxygen levels in the blood to drop. Most of sleep apnea cases are currently undiagnosed because of expenses and practicality limitations of overnight polysomnography (PSG) at sleep labs, where an expert human observer is required. New techniques for sleep apnea classification are being developed by bioengineers for most comfortable and timely detection. In this study, we develop and validate a neural network (NN) using SpO2 measurements obtained from pulse oximetry to predict OSA. The results show that the NN is useful as a predictive tool for OSA with a high performance and improved accuracy, approximately 93.3\%, which is better than reported techniques in the literature.