Epidemiologic studies have documented that the majority of women do not become depressed during the menopause transition. However, recent longitudinal studies suggest that in some women, the events related to the menopause transition could play a role in the onset of depression. In this article we review evidence suggesting a relationship between the menopause transition and depression. Additionally, we describe several findings that suggest a role of ovarian hormones in the onset of these depressions, including the clustering of episodes of depression during the stage of the menopause transition that is accompanied by estradiol withdrawal, and the therapeutic effects of short-term estradiol in depressed perimenopausal women. Finally, we discuss possible causes of affective disturbances during the menopause transition.