Lipid peroxidation involves a cascade of reactions in which production of free radicals occurs selectively in the lipid components of cellular membranes. Polyunsaturated fatty acids easily undergo lipid peroxidation chain reactions, which, in turn, lead to the formation of highly reactive electrophilic aldehydes. Among these, the most abundant aldehydes are 4-hydroxy-2-nonenal (HNE) and malondialdehyde, while acrolein is the most reactive. Proteins are susceptible to posttranslational modifications caused by aldehydes binding covalently to specific amino acid residues, in a process called Michael adduction, and these types of protein adducts, if not efficiently removed, may be, and generally are, dangerous for cellular homeostasis. In the present review, we focused the discussion on the selective proteins that are identified, by redox proteomics, as selective targets of HNE modification during the progression and pathogenesis of Alzheimer disease (AD). By comparing results obtained at different stages of the AD, it may be possible to identify key biochemical pathways involved and ideally identify therapeutic targets to prevent, delay, or treat AD.