Epidemiologic data consistently report an elevated prevalence of major depressive disorder (MDD) in women. This increase begins during adolescence and continues through the menopausal transition. Population-based clinical studies report an increase in the incidence of MDD during perimenopause compared to either the premenopausal or postmenopausal period. Evidence suggests that fluctuations and decline of hormonal levels are correlated with this observed increase in risk for MDD. A strong predictor of depression in the perimenopausal period is a previous history of MDD. However, recent studies revealed an increased risk of new onset depression in perimenopausal women without a history of MDD. Additionally, recent reports have indicated that the presence of vasomotor symptoms may be associated with an increased the risk for MDD. The objective of this paper is to review evidence that would support our hypothesis that neurotransmitter systems are affected by changes in hormonal status over the course of a woman's life, leading to increase vulnerability to perimenopausal depression. Relevant data from nonclinical experiments will be discussed in the context of observed clinical evidence of the risk for MDD before, during, and after the menopausal transition. A testable hypothesis will be proposed to advance our understanding of hormonal effects on mood.