Introduction The apolipoprotein E (APOE) genotype is a driver of cognitive decline and dementia. We used causal mediation methods to characterize pathways linking the APOE genotype to late‐life cognition through Alzheimer's disease (AD) and non‐AD neuropathologies. Methods We analyzed autopsy data from 1671 individuals from the Religious Orders Study, Memory and Aging Project, and Minority Aging Research Study (ROS/MAP/MARS) studies with cognitive assessment within 5 years of death and autopsy measures of AD (amyloid beta (Aβ), neurofibrillary tangles), vascular (athero/arteriolo‐sclerosis, micro‐infarcts/macro‐infarcts), and non‐AD neurodegenerative neuropathologies (TAR DNA protein 43 TDP‐43, Lewy bodies, amyloid angiopathy, hippocampal sclerosis). Results The detrimental effect of APOE ε4 on cognition was mediated by summary measures of AD and non‐AD neurodegenerative neuropathologies but not vascular neuropathologies; effects were strongest in individuals with dementia. The protective effect of APOE ε2 was partly mediated by AD neuropathology and stronger in women than in men. Discussion The APOE genotype influences cognition and dementia through multiple neuropathological pathways, with implications for different therapeutic strategies targeting people at increased risk for dementia. Highlights Both apolipoprotein E (APOE) ε2 and APOE ε4 effects on late‐life cognition are mediated by AD neuropathology. The estimated mediated effects of most measures of AD neuropathology were similar. Non–Alzheimer's disease (AD) neurodegenerative pathologies mediate the effect of ε4 independently from AD. Non‐AD vascular pathologies did not mediate the effect of the APOE genotype on cognition. The protective effect of APOE ε2 on cognition was stronger in women.