Depression is common among late-onset Alzheimer's Disease (LOAD) patients. Only a few studies investigated the genetic variability underlying the comorbidity of depression in LOAD. Moreover, the epigenetic and transcriptomic factors that may contribute to comorbid depression in LOAD have yet to be studied. Using transcriptomic and DNA-methylomic datasets from the ROSMAP cohorts, we investigated differential gene expression and DNA-methylation in LOAD patients with and without comorbid depression. Differential expression analysis did not reveal significant association between differences in gene expression and the risk of depression in LOAD. Upon sex-stratification, we identified 25 differential expressed genes (DEG) in males, of which CHI3L2 showed the strongest upregulation, and only 3 DEGs in females. Additionally, testing differences in DNA-methylation found significant hypomethylation of CpG (cg20442550) on chromosome 17 (log2FC = -0.500, p = 0.004). Sex-stratified differential DNA-methylation analysis did not identify any significant CpG probes. Integrating the transcriptomic and DNA-methylomic datasets did not discover relationships underlying the comorbidity of depression and LOAD. Overall, our study is the first multi-omics genome-wide exploration of the role of gene expression and epigenome alterations in the risk of comorbid depression in LOAD patients. Furthermore, we discovered sex-specific differences in gene expression underlying the risk of depression symptoms in LOAD.