Alzheimer’s disease (AD) is characterized by severe cognitive decline and pathological changes in the brain (brain atrophy, hyperphosphorylation of tau, and deposition of amyloid-beta protein). Females have greater neuropathology (AD biomarkers and brain atrophy rates) and cognitive decline than males, however these effects can depend on diagnosis (amnestic mild cognitive impairment (aMCI) or AD) and APOE genotype (presence of ε4 alleles). Using the ADNI database (N = 630 females, N = 830 males), we analyzed the effect of sex, APOE genotype (non-carriers or carriers of APOEε4 alleles), and diagnosis (cognitively normal (CN), early aMCI (EMCI), late aMCI (LMCI), probable AD) on cognition (memory and executive function), hippocampal volume, and AD biomarkers (CSF levels of amyloid beta, tau, and ptau). Regardless of APOE genotype, memory scores were higher in CN, EMCI, and LMCI females compared to males but this sex difference was absent in probable AD, which may suggest a delay in the onset of cognitive decline or diagnosis and/or a faster trajectory of cognitive decline in females. We found that, regardless of diagnosis, CSF tau-pathology was disproportionately elevated in female carriers of APOEε4 alleles compared to males. In contrast, male carriers of APOEε4 alleles had reduced levels of CSF amyloid beta compared to females, irrespective of diagnosis. We also detected sex differences in hippocampal volume but the direction was dependent on the method of correction. Altogether results suggest that across diagnosis females show greater memory decline compared to males and APOE genotype affects AD neuropathology differently in males and females which may influence sex differences in incidence and progression of aMCI and AD.