The incidence or recurrence of major depression is greatly increased in women during the transition to and after menopause and hormonal changes occurring during these periods are thought to play an important role in depressive recurrence. It has been also suggested that a chronic hypoestrogenic state may reduce the response to antidepressant drugs, but whether or not, and the extent to which hormonal changes related to menopause influence the response to antidepressant drugs, is yet to be determined. Thirty-nine female patients (n = 17 in pre-menopause; n = 22 in post-menopause) with major depressive disorder (MDD) based on DSM-IV criteria, who were not on hormonal replacement therapy, participated in the study in order to prospectively evaluate the effect of menopausal status and its hormonal correlates on the effectiveness of antidepressant treatment for 6 weeks. The Hamilton Depression Rating Scale-17 item (HAMD), the Montgomery–Åsberg Depression Rating Scale (MADRS) and the Clinical Global Impression Severity scale (CGI-S) were administered at baseline, week 1, week 3, and week 6. The CGI-I scale was also assessed at weeks 1, 3, and 6. After controlling for age, age at onset, baseline symptom severity, antidepressant dosage and hormonal levels of follicle-stimulating hormone (FSH), luteinizing hormone (LH) and estradiol (E2), post-menopausal women showed a poor response to antidepressants over 6 weeks of treatment, compared to the response of pre-menopausal women. Old age and high levels of FSH were also associated with the efficacy of antidepressants in post-menopausal women. In conclusion, sex hormones are known to interact with serotonergic, noradrenergic and dopaminergic systems. Despite methodological limitations, our study suggests that menopausal status and old age are predictors of a poor response to antidepressant treatment. Furthermore, the FSH may interfere with the mechanism of action of the antidepressant agents. Hence, larger, randomized and controlled trials are warranted to expand our understanding of this area.