They can be.
Discomfort is one of the main reasons people stop CPAP therapy. It can take some time to get used to sleeping with a mask, for instance. Try wearing it at other times during the day, so it feels more natural at bedtime.
It's important to properly adjust the mask so that it fits just right. You may need to try different types of masks to find one that's comfortable.
Some people also say that CPAP therapy makes them feel congested. Using saline spray before bed can help with this type of discomfort.