Introduction: Elevated cortisol levels have been reported in Alzheimer’s disease (AD) and may accelerate the development of brain pathology and cognitive decline. Dehydroepiandrosterone sulfate (DHEAS) has anti-glucocorticoid effects and it may be involved in the AD pathophysiology. Objectives: To investigate associations of cerebrospinal fluid (CSF) cortisol and DHEAS levels with (1) cognitive performance at baseline; (2) CSF biomarkers of amyloid pathology (as assessed by CSF Aβ levels), neuronal injury (as assessed by CSF tau), and tau hyperphosphorylation (as assessed by CSF p-tau); (3) regional brain volumes; and (4) clinical disease progression. Materials and Methods: Individuals between 49 and 88 years (n = 145) with mild cognitive impairment or dementia or with normal cognition were included. Clinical scores, AD biomarkers, brain MRI volumetry along with CSF cortisol and DHEAS were obtained at baseline. Cognitive and functional performance was re-assessed at 18 and 36 months from baseline. We also assessed the following covariates: apolipoprotein E (APOE) genotype, BMI, and education. We used linear regression and mixed models to address associations of interest. Results: Higher CSF cortisol was associated with poorer global cognitive performance and higher disease severity at baseline. Cortisol and cortisol/DHEAS ratio were positively associated with tau and p-tau CSF levels, and negatively associated with the amygdala and insula volumes at baseline. Higher CSF cortisol predicted more pronounced cognitive decline and clinical disease progression over 36 months. Higher CSF DHEAS predicted more pronounced disease progression over 36 months. Conclusion: Increased cortisol in the CNS is associated with tau pathology and neurodegeneration, and with decreased insula and amygdala volume. Both CSF cortisol and DHEAS levels predict faster clinical disease progression. These results have implications for the identification of patients at risk of rapid decline as well as for the development of interventions targeting both neurodegeneration and clinical manifestations of AD.