Parkinson’s disease (PD) is a progressive neurodegenerative disease characterized by movement dysfunction due to selective degeneration of dopaminergic neurons in the substantia nigra pars compacta. Non-motor symptoms of PD (e.g., sensory dysfunction, sleep disturbance, constipation, neuropsychiatric symptoms) precede motor symptoms, appear at all stages, and impact the quality of life, but they frequently go unrecognized and remain untreated. Even when identified, traditional dopamine replacement therapies have little effect. We discuss here the pathology of two PD-associated non-motor symptoms: olfactory dysfunction and depression. Olfactory dysfunction is one of the earliest non-motor symptoms in PD and predates the onset of motor symptoms. It is accompanied by early deposition of Lewy pathology and neurotransmitter alterations. Because of the correlation between olfactory dysfunction and an increased risk of progression to PD, olfactory testing can potentially be a specific diagnostic marker of PD in the prodromal stage. Depression is a prevalent PD-associated symptom and is often associated with reduced quality of life. Although the pathophysiology of depression in PD is unclear, studies suggest a causal relationship with abnormal neurotransmission and abnormal adult neurogenesis. Here, we summarize recent progress in the pathology of the non-motor symptoms of PD, aiming to provide better guidance for its effective management.