Perimenopause (and not the entire postmenopausal period) is a period at risk for depression. Menopause is a psychosocial and physiologic reality whose neurobiological aspects are often under-estimated. Various disturbances, such as hot flushes and, at least in part, depressive disorders, are related to this neurobiological dimension. When the depression is minor, hormone replacement therapy may be an adequate treatment. Keeping in mind the complex interactions that may occur between endogenous and exogenous progestins at the neuronal level, we would recommend a physiologic replacement using transdermal estradiol and vaginal progesterone. When the depression is major, present data do not support the possibility of using hormone replacement therapy instead of antidepressants.