Alzheimer's disease (AD) is the most common cause of dementia in the elderly. Considerable effort is currently made by scientists to understand the molecular mechanisms underlying its development, but no clear answer has been attained yet. One reason might be that the needed multidisciplinarity of this type of research is pushed to extreme conditions. Among the mechanisms identified, protein-lipid interaction could play an important role. Understanding these interactions is crucial, and multiple approaches have been developed which have led to increased knowledge in this area. This review, focusing over the last 10 years, presents how techniques spanning from analytical chemistry to physical chemistry help assessing protein-lipid interaction in AD. It focuses on proving its existence, identifying the sites of interaction, and understanding the consequences such interaction would have regarding further evolution of the protein and the lipid. Finally, it shows that understanding protein-lipid interaction in AD effectively requires multi-technique-based strategies.