Background Alterations in factors involved in cholesterol homeostasis are critical in Alzheimer's disease (AD), but the stage of occurrence, their specific association, and a possible relationship with the APOE4 genotype are not clarified. Objective We aimed to quantify and correlate specific lipid factors in patients with different degrees of cognitive decline, namely patients with AD and patients with mild cognitive impairment due to AD (MCI-AD), carriers or non-carriers of the APOE4 genotype. Methods We evaluated Proprotein Convertase Subtilisin/Kexin type 9 (PCSK9), cholesterol and the oxidative metabolites 24-, 25-, 27-hydroxycholesterol (HC) in the cerebrospinal fluid (CSF) and serum of AD (n = 28) and MCI-AD (n = 27) patients. Results CSF and serum PCSK9 and lipids were similar, except for higher serum PCSK9 and triglycerides in MCI-AD compared to AD. In CSF, AD APOE4 carriers showed higher PCSK9 and 24-HC (+61.3%, p = 0.027 and +32.7%, p = 0.037), compared to non-carriers. There was a negative association between CSF PCSK9 and 27-HC in AD (r = −0.444, p = 0.049) and, exclusively among AD APOE4 carriers, a negative association between CSF PCSK9 and 24-HC (r = −0.786, p = 0.028). A positive correlation was observed between CSF and serum PCSK9 in AD (r = 0.520, p = 0.004), driven by APOE4 carriers (r = 0.544, p = 0.038), suggesting PCSK9 exchange between brain and periphery. A positive correlation was detected between serum and CSF 27-HC (r = 0.465, p = 0.039) in AD. None of these results were found in MCI-AD patients. Conclusions PCSK9 and 24-HC might be specific markers of ApoE4-associated lipid alterations in AD, possibly contributing to clinical progression in the AD continuum.