Dementia is an umbrella term for a broad group of age-associated neurodegenerative diseases. It is estimated that dementia affects 50 million people worldwide and that Alzheimer’s disease (AD) is responsible for up to 75% of cases. Small extracellular senile plaques composed of filamentous aggregates of amyloid β (Aβ) protein tend to bind to neuronal receptors, affecting cholinergic, serotonergic, dopaminergic, and noradrenergic neurotransmission, leading to neuroinflammation, among other pathophysiologic processes, and subsequent neuronal death, followed by dementia. The amyloid cascade hypothesis points to a pathological process in the cleavage of the amyloid precursor protein (APP), resulting in pathological Aβ. There is a close relationship between the pathologies that lead to dementia and depression. It is estimated that depression is prevalent in up to 90% of individuals diagnosed with Parkinson’s disease, with varying severity, and in 20 to 30% of cases of Alzheimer’s disease. The hypothalamic pituitary adrenal (HPA) axis is the great intermediary between the pathophysiological mechanisms in neurodegenerative diseases and depression. This review discusses the role of Aβ protein in the pathophysiological mechanisms of dementia and depression, considering the HPA axis, neuroinflammation, oxidative stress, signaling pathways, and neurotransmission.