Brain-derived neurotrophic factor (BDNF) and glycolipid metabolism have been implicated in cognitive impairments and depression among Parkinson's disease (PD). However, the role of sex differences in this relationship remains elusive. This study aimed to investigate the potential sex differences in the link between serum BDNF levels, glycolipid metabolism and cognitive performance among depressive PD patients. PD patients comprising 108 individuals with depression and 108 without depression were recruited for this study. Cognitive function was assessed using the Montreal Cognitive Assessment Beijing version (MOCA-BJ). The severity of depressive symptoms was assessed using the Hamilton Depression Rating Scale (HAMD-17), while motor symptoms were evaluated using the Revised Hoehn and Yahr rating scale (H-Y) and the Unified Parkinson's Disease Rating Scale Part III (UPDRS-III). Laboratory testing and enzyme-linked immunosorbent assay (ELISA) are used to measure serum levels of glycolipid metabolism and BDNF. Females showed superior performance in delayed recall (all p < 0.05), male PD patients exhibited higher scores in naming tasks compared to females in non-depression group. There was no sex differences in serum BDNF levels between depression and non-depression groups. Liner regression analysis indicated BDNF as an independent risk factor for language deficits in male PD patients with depression (p < 0.05), while cholesterol (CHOL) emerged as a cognitive influencing factor, particularly in delayed recall among male PD patients with depression (p < 0.05). Our study reveals extensive cognitive impairments in PD patients with depression. Moreover, BDNF and CHOL may contribute to the pathological mechanisms underlying cognitive deficits, particularly in male patients with depression.