The genetic component of many common traits is associated with the gene expression and several variants act as expression quantitative loci, regulating the gene expression in a tissue specific manner. In this work, we applied tissue-specific cis-eQTL gene expression prediction models on the genotype of 808 samples including controls, subjects with mild cognitive impairment, and patients with Alzheimer's Disease. We then dissected the imputed transcriptomic profiles by means of different unsupervised and supervised machine learning approaches to identify potential biological associations. Our analysis suggests that unsupervised and supervised methods can provide complementary information, which can be integrated for a better characterization of the underlying biological system. In particular, a variational autoencoder representation of the transcriptomic profiles, followed by a support vector machine classification, has been used for tissue-specific gene prioritizations. Interestingly, the achieved gene prioritizations can be efficiently integrated as a feature selection step for improving the accuracy of deep learning classifier networks. The identified gene-tissue information suggests a potential role for inflammatory and regulatory processes in gut-brain axis related tissues. In line with the expected low heritability that can be apportioned to eQTL variants, we were able to achieve only relatively low prediction capability with deep learning classification models. However, our analysis revealed that the classification power strongly depends on the network structure, with recurrent neural networks being the best performing network class. Interestingly, cross-tissue analysis suggests a potentially greater role of models trained in brain tissues also by considering dementia-related endophenotypes. Overall, the present analysis suggests that the combination of supervised and unsupervised machine learning techniques can be used for the evaluation of high dimensional omics data.