Pathophysiological substrate(s) and progression of Parkinson's disease (PD) with mild cognitive impairment (PD-MCI) are still matter of debate. Baseline cerebrospinal fluid (CSF) neurochemical profile and cognitive changes after 2 years were investigated in a retrospective series of PD-MCI (n = 48), cognitively normal PD (PD-CN, n = 40), prodromal Alzheimer's disease (MCI-AD, n = 25) and cognitively healthy individuals with other neurological diseases (OND, n = 44). CSF biomarkers reflecting amyloidosis (Aβ42/40 ratio, sAPPα, sAPPβ), tauopathy (p-tau), neurodegeneration (t-tau, NfL, p-NfH), synaptic damage (α-syn, neurogranin) and glial activation (sTREM2, YKL-40) were measured. The great majority (88%) of PD-MCI patients was A-/T-/N-. Among all biomarkers considered, only NfL/p-NfH ratio was significantly higher in PD-MCI vs. PD-CN (p = 0.02). After 2 years, one-third of PD-MCI patients worsened; such worsening was associated with higher baseline levels of NfL, p-tau, and sTREM2. PD-MCI is a heterogeneous entity requiring further investigations on larger, longitudinal cohorts with neuropathological verification.