Alzheimer's disease (AD) and major depressive disorder (MDD) are comorbid neuropsychiatric disorders that are among the leading causes of long-term disability worldwide. Recent research has indicated the existence of parallel molecular mechanisms between AD and MDD in the dorsolateral prefrontal cortex (DLPFC). However, the premorbid history and molecular mechanisms have not yet been well characterized. In this study, differentially expressed gene (DEG), differentially co-expressed gene and protein-protein interaction (PPI) network propagation analyses were applied to gene expression data of postmortem DLPFC samples from human individuals diagnosed with and without AD or MDD (AD: cases = 310, control = 157; MDD: cases = 75, control = 161) to identify the main genes in the two disorders' specific and shared biological pathways. Subsequently, the results were evaluated using another four assessment datasets (n1 = 230, n2 = 65, n3 = 58, n4 = 48). Moreover, the postmortem DLPFC methylation status of human subjects with AD or MDD was compared using 68 and 608 samples for AD and MDD, respectively. Eight genes (XIST, RPS4Y1, DDX3Y, USP9Y, DDX3X, TMSB4Y, ZFY and E1FAY) were common DEGs in DLPFC of subjects with AD or MDD. These genes play important roles in the nervous system and the innate immune system. Furthermore, we found HSPG2, DAB2IP, ARHGAP22, TXNRD1, MYO10, SDK1 and KRT82 as common differentially methylated genes in the DLPFC of cases with AD or MDD. Finally, as evidence of shared molecular mechanisms behind this comorbidity, we propose some genes as candidate biomarkers for both AD and MDD. However, more research is required to clarify the molecular mechanisms underlying the co-existence of these two important neuropsychiatric disorders.