The aggregation of amyloid beta peptides resulting in neurotoxic oligomers is an important but yet mysterious process in Alzheimer's disease development. Molecular dynamics simulations were performed to investigate the self-assembly of three full-length amyloid peptides in the zwitterionic dipalmitoylphosphatidylcholine and cholesterol mixed lipid bilayer. During the 1000 ns simulation, the residues 1-27 were found to interact preferentially with the lipid-aqueous interface region, while residues 28-42 show an inclination to remain inside the bilayer hydrophobic tail region. The interaction between peptides and lipids has facilitated the association of A beta peptides. However, the interaction between cholesterol and peptides is inversely correlated with the extent of the peptide-peptide interactions. Our simulation has uncovered the formation of a short segment of parallel beta-sheet between two peptide chains. In another chain, the N- and C-termini came close to each other. All the structural transitions indicate that our simulation has caught a glimpse of the complicated peptide oligomerization process. The full understanding of the underlying mechanism still requires further experimental and theoretical studies.