In this narrative review, we delved into the intricate interplay between Apolipoprotein E (APOE) alleles (typically associated with Alzheimer’s disease—AD) and alpha-synucleinopathies (aS-pathies), involving Parkinson’s disease (PD), Parkinson’s disease dementia (PDD), dementia with Lewy bodies (DLB), and multiple-system atrophy (MSA). First, in-vitro, animal, and human-based data on the exacerbating effect of APOE4 on LB pathology were summarized. We found robust evidence that APOE4 carriage constitutes a risk factor for PDD—APOE2, and APOE3 may not alter the risk of developing PDD. We confirmed that APOE4 copies confer an increased hazard towards DLB, as well. Again APOE2 and APOE3 appear unrelated to the risk of conversion. Of note, in individuals with DLB APOE4, carriage appears to be intermediately prevalent between AD and PDD-PD (AD > DLB > PDD > PD). Less consistency existed when it came to PD; APOE-PD associations tended to be markedly modified by ethnicity. Finally, we failed to establish an association between the APOE gene and MSA. Phenotypic associations (age of disease onset, survival, cognitive–neuropsychiatric- motor-, and sleep-related manifestations) between APOE alleles, and each of the aforementioned conditions were also outlined. Finally, a synopsis of literature gaps was provided followed by suggestions for future research.