Objective: To determine whether menopause elevates the risk for developing diagnostic depression and anxiety. Menopause-associated vasomotor symptoms such as insomnia and hot flushes are well recognized, but no systematic review of the psychological consequences of menopause has been undertaken. Menopause can be a time of social change for women, confounding any correlation. Methods: Using PRISMA methodology, we conducted a systematic review of all published (in English) original data examining a relationship between menopause and depression and anxiety. We ranked the quality of all included studies using Grading of Recommendations, Assessment, Development and Evaluation (GRADE) criteria. Results: Twenty-two selected studies were summarized and compared, being eight cross-sectional surveys; one retrospective cohort, and 13 prospective cohort studies. Depression and anxiety are common during menopause and the post-menopause, with vasomotor symptoms and a prior history of major depression elevating risk of menopausal associated depression. Psychosocial factors also may increase risk of depression during menopause. Conclusions: Menopause increases vulnerability to depression and anxiety, perhaps via estrogen fluctuations affecting serotonin and GABA. Underlying neuroticism and contemporaneous adverse life events are also risk factors for menopausal decompensation with depression.