Alzheimer’s disease (AD) is the main cause of dementia worldwide, and the genetic mechanism of which is not yet fully understood. Much evidence has accumulated over the past decade to suggest that after the first large-scale genome-wide association studies (GWAS) were conducted, the problem of “missing heritability” in AD is still a great challenge. Epistasis has been considered as one of the main causes of “missing heritability” in AD, which has been largely ignored in human genetics. The focus of current genome-wide epistasis studies is usually on single nucleotide polymorphisms (SNPs) that have significant individual effects, and the amount of heritability explained by which was very low. Moreover, AD is characterized by progressive cognitive decline and neuronal damage, and some studies have suggested that hyperphosphorylated tau (P-tau) mediates neuronal death by inducing necroptosis and inflammation in AD. Therefore, this study focused on identifying epistasis between two-marker interactions at marginal main effects across the whole genome using cerebrospinal fluid (CSF) P-tau as quantitative trait (QT). We sought to detect interactions between SNPs in a multi-GPU based linear regression method by using age, gender, and clinical diagnostic status (cds) as covariates. We then used the STRING online tool to perform the PPI network and identify two-marker epistasis at the level of gene–gene interaction. A total of 758 SNP pairs were found to be statistically significant. Particularly, between the marginal main effect SNP pairs, highly significant SNP–SNP interactions were identified, which explained a relatively high variance at the P-tau level. In addition, 331 AD-related genes were identified, 10 gene–gene interaction pairs were replicated in the PPI network. The identified gene-gene interactions and genes showed associations with AD in terms of neuroinflammation and neurodegeneration, neuronal cells activation and brain development, thereby leading to cognitive decline in AD, which is indirectly associated with the P-tau pathological feature of AD and in turn supports the results of this study. Thus, the results of our study might be beneficial for explaining part of the “missing heritability” of AD.