The present article prospectively examines the effect of change in menopause status on depression, while controlling for prior depression. This is a longitudinal follow-up of previous cross-sectional analyses reported by McKinlay, McKinlay, and Brambilla who examined the relative contribution of menopause to depression. The data derive from the Massachusetts Women's Health Study, a 5-year longitudinal study of a cohort of 2565 women aged 45 to 55 years at baseline (1981 to 1982). Results show that prior depression is the variable most predictive of subsequent depression, as measured by the Center for Epidemiologic Studies-Depression (CES-D) scale. Onset of natural menopause was not associated with increased risk of depression. Experiencing a long perimenopausal period (at least 27 months), however, was associated with increased risk of depression. The association between a long perimenopause and depression appeared to be explained by increased menopausal symptoms rather than by the menopause status itself. The observed increase in depression during a lengthy perimenopause appears to be transitory.