Using isobaric-isothermal all-atom replica-exchange molecular dynamics (REMD) simulations, we investigated the equilibrium binding of Aβ10-40 monomers to the zwitterionic dimyristoylphosphatidylcholine (DMPC) bilayer containing cholesterol. Our previous REMD simulations, which studied binding of the same peptide to the cholesterol-free DMPC bilayer, served as a control, against which we measured the impact of cholesterol. Our findings are as follows. First, addition of cholesterol to the DMPC bilayer partially expels the Aβ peptide from the hydrophobic core and promotes its binding to bilayer polar headgroups. Using thermodynamic and energetics analyses, we argued that Aβ partial expulsion is not related to cholesterol-induced changes in lateral pressure within the bilayer but is caused by binding energetics, which favors Aβ binding to the surface of the densely packed cholesterol-rich bilayer. Second, cholesterol has a protective effect on the DMPC bilayer structure against perturbations caused by Aβ binding. More specifically, cholesterol reduces bilayer thinning and overall depletion of bilayer density beneath the Aβ binding footprint. Third, we found that the Aβ peptide contains a single cholesterol binding site, which involves hydrophobic C-terminal amino acids (Ile31-Val36), Phe19, and Phe20 from the central hydrophobic cluster, and cationic Lys28 from the turn region. This binding site accounts for about 76% of all Aβ-cholesterol interactions. Because cholesterol binding site in the Aβ10-40 peptide does not contain the GXXXG motif featured in cholesterol interactions with the transmembrane domain C99 of the β-amyloid precursor protein, we argued that the binding mechanisms for Aβ and C99 are distinct reflecting their different conformations and positions in the lipid bilayer. Fourth, cholesterol sharply reduces the helical propensity in the bound Aβ peptide. As a result, cholesterol largely eliminates the emergence of helical structure observed upon Aβ transition from a water environment to the cholesterol-free DMPC bilayer. We explain this effect by the formation of hydrogen bonds between cholesterol and the Aβ backbone, which prevent helix formation. Taken together, we expect that our simulations will advance understanding of a molecular-level mechanism behind the role of cholesterol in Alzheimer's disease.