Depression and Alzheimer’s disease (AD) are commonly comorbid in the elderly, and an increasing body of evidence indicates that depression in late-life could be a prodromal manifestation and a risk factor on its own in AD. There is some similarity in the pathogenesis between the two disorders, with neuroinflammatory and hypothalamic-pituitary-adrenal axis dysregulation, synaptic damage, mitochondrial damage, and metabolic disruptions. This review will provide a summary of recent developments in the field of multi-omics in order to understand the molecular pathways underlying depression-related AD, as well as to outline their pharmacological consequences. The search and selection have taken place through standard articles published from 2020 to 2025 on the topic of genomics, epigenomics, transcriptomics, proteomics, metabolomics, lipidomics, and microbiomics in AD and major depressive disorders. Immune regulation and lipid metabolic pathways are among the common susceptibility loci identified by genomic data. Epigenomic studies reveal that DNA methylation and histone modifications of neurotrophic and inflammatory signals are caused by stress. Convergent attenuation of microglial activity and synaptic dysregulation of genes are found in transcriptomic and single-cell sequencing data. Proteomic and metabolomic studies point to the involvement of complement cascade activation, kynurenine pathway imbalances, oxidative stress, and phospholipid metabolism changes. Multi-omics integration will give a systems-level view of the biological continuum of depression and AD. These methods have a great potential to provide detection of the disease at an early stage, risk identification, and establishment of specific drug-based therapy of depression-related neurodegeneration.