FKBP51 is a key stress-responsive regulator of the hypothalamic–pituitary–adrenal axis. To elucidate the contribution of rs1360780 FKBP5 C/T alleles to aging and longevity, we genotyped FKBP5 in a cohort of 800 non-demented and Alzheimer’s disease (AD) subjects of different age, taking into account the allele state of ApoE ε4, the major risk factor for AD. Furthermore, we searched for the association of FKBP5 with subcohorts of non-demented subjects evaluated for anxiety and resting-state quantitative EEG characteristics, associated with cognitive, emotional, and functional brain activities. We observed that increased state anxiety scores depend on the combination of the FKBP5 and ApoE genotypes and on the DNA methylation state of the FKBP5 promoter and ApoE genotype. We also found a significant gender-dependent correlation between FKBP5 promoter methylation and alpha-, delta-, and theta-rhythms. Analysis of the FKBP5 expression in an independent cohort revealed a significant upregulation of FKBP5 in females versus males. Our data suggest a synergistic effect of the stress-associated (FKBP5) and neurodegeneration-associated (ApoE) gene alleles on anxiety and the gender-dependent effect of FKBP5 on neurophysiological brain activity.