Perimenopause represents a significant transition in a woman's life. The evidence to support an association between perimenopause and depression is mixed, yet recent prospective studies have provided stronger evidence to support such an association. Interpretation of study data are complicated by methodological issues, such as a lack of standard definition for perimenopause or depression, reducing comparability. A variety of causal factors, including psychological, genetic and physiological, have been implicated in depression during perimenopause, which lends weight to a multifactorial model. Physicians should consider initiating dialogue about menopause and symptom relief at age 40 and screening perimenopausal women for depressive symptoms. Selective serotonin reuptake inhibitors are a first line of treatment for depression, but hormone therapy could be considered for women experiencing menopausal symptoms unless there are contraindications. Future research should focus on establishing temporality and studying these potential relationships among women of different ethnicities.