This review summarizes studies of sleep and other biological rhythms in menopausal women with major depression compared with healthy control subjects. Where feasible, we focused on studies in women who met DSM-IV (Diagnostic and Statistical Manual of Mental Disorders, Fourth Edition) criteria for a major depressive episode (MDE) compared with matched normal control subjects and the Staging System for Reproductive Aging in Women (STRAW) criteria. The aim was to review supporting evidence for the hypothesis that a disruption of the normal temporal relationship between sleep and other biological rhythms, such as melatonin, cortisol, thyroid stimulating hormone (TSH) or prolactin, occur during the menopausal transition. As a result, depressive disorders occur in predisposed women. Treatment strategies, designed to correct these altered phase (timing) or amplitude abnormalities, thereby improve mood. Although there may be some common features to menopausal depression compared with other depressive disorders related to the reproductive cycle (e.g. premenstrual dysphoric disorder or postpartum major depression), such as increased morning melatonin secretion, a specific profile of sleep and biological rhythms may distinguish healthy from depressed women during menopause. Further work is needed to characterize more fully the particular abnormalities associated with well-defined menopausal depression in order to develop treatment strategies targeted more specifically to pathogenesis.