The influence of sex hormones on mood during the menopausal transition has been the subject of ongoing investigation. Because dehydroepiandrosterone sulfate (DHEA-S) has been associated with several indicators of healthy aging, we conducted a population-based study of midlife women to determine the relationship between DHEA-S levels and depressive symptoms and major depression during the transition through menopause. Unexpectedly, the original report revealed a positive correlation between DHEA-S levels and depressive symptoms at baseline. The cohort was studied over 11 years to determine whether the positive association between DHEA-S levels and depression persists through the menopausal transition. We conducted a longitudinal cohort study with 11 assessments during an 11-year interval in Philadelphia, Pennsylvania, using a randomly identified, population-based sample of 436 African American and Caucasian premenopausal women aged 35 to 47 years at enrollment. For outcome measures, we used the Center for Epidemiologic Studies Depression Scale and standardized diagnosis of major depression. In a multivariable model, DHEA-S levels were positively associated with depressive symptoms when adjusted for age, menopausal stage, race, smoking status, and body mass index. There was no association between DHEA-S levels and a diagnosis of major depression. DHEA-S levels were positively associated with depressive symptoms through the menopausal transition. No association with major depression was apparent during the menopausal transition, but results may have limited power due to low prevalence of major depression in this cohort. These findings suggest that taking DHEA supplements may increase depressive symptoms for some women, and women and their physicians should be cautious about instituting DHEA replacement therapy during the menopausal transition.