Sexual dysfunction is very common among middle-aged females. Several factors are considered to influence sexual functioning, including reproductive aging and associated physiological changes as well as life stressors, mental health, and other socioeconomic influences. The objectives of this study are to evaluate the effect of current depressive symptoms on sexual functioning during menopause and to further analyze whether socioeconomic status, age, and antidepressant usage impact this association. Perimenopausal and postmenopausal women aged 40 to 65 years seeking treatment from a specialized menopause clinic completed a self-report survey with the main outcome measure being the 19-item Female Sexual Function Index quantifying sexual dysfunction. We used the 10-item Center for Epidemiological Studies Depression Scale to estimate a major depressive episode. Statistical analyses were completed to assess the potential associations of socioeconomic factors, age, and antidepressant usage. Of the 269 participants, 61.3% met criteria for a major depressive episode and 67.0% had low sexual function. As predicted, women currently experiencing depressive symptoms had a greater risk of low sexual function during perimenopause and postmenopause. Antidepressant usage, low household income, being postmenopausal, and age also predicted low sexual function. Among perimenopausal and postmenopausal women, current depressive symptoms were associated with low sexual function. A biopsychosocial approach should be considered when exploring effective treatment strategies for sexual concerns among midlife women.