The menopause transition is associated with a two to fourfold increased risk in major depressive disorder (MDD) and clinical elevations in depressive symptoms. While the pathophysiological mechanisms underlying this increased risk remain uncertain, ovarian hormone fluctuation is believed to play a role. To the extent that this is the case, hormone replacement therapy (HRT), through its hormone-stabilizing effects, represents a viable antidepressant treatment. The current review summarizes the most recent literature evaluating the efficacy of HRT in treating MDD in peri- and postmenopausal women. In addition, to provide a clinical context in which to interpret this research, the endocrinology and clinical phenomenology related to depression with onset in the menopause transition (D-MT) are discussed. The available evidence suggests that HRT, specifically involving estrogen delivered through a skin patch, is a promising intervention in the treatment of D-MT. However, HRT of any form is an ineffective antidepressant in women who are well into the postmenopausal period.