The associations between endogenous dehydroepiandrosterone (DHEA) and DHEA sulfate (DHEAS), and depression in older women are uncertain. However, DHEA supplements are widely available over the counter in some countries, and some people may be taking DHEA with the hope of positive mood effects. This systematic review aimed to investigate the association between endogenous DHEA/DHEAS blood concentrations and depression/depressive symptoms in community-dwelling postmenopausal women.Evidence Review: Searches were conducted in Ovid MEDLINE, EMBASE, PsycINFO, and Web of Science databases for observational studies with at least 100 community-dwelling participants until March 9, 2022. The bibliographies of retrieved articles were manually searched. The studies published in English and meeting the inclusion criteria were included in the review. The risk of bias was assessed with the modified Hoy tool for cross-sectional designs and the Joanna Briggs Institute modified critical appraisal checklist for cohort studies. Of the 30 articles retrieved for full-text review, 14 met the criteria for inclusion. Seven studies were cross-sectional, six were longitudinal, and one had both cross-sectional and longitudinal data. Five of eight cross-sectional studies found no association between DHEAS and depression, whereas three studies reported an inverse association. Similarly, most of the studies (n = 4) with longitudinal data reported no association, whereas two studies reported either an inverse association or mixed results for DHEAS and depression severity. No association between DHEA and depression was found irrespective of the study design. Heterogeneity of design was a barrier to meta-analysis and between study comparison. The majority of studies were limited by high risk of bias in at least one assessed domain. This systematic review does not support an association between endogenous DHEA/DHEAS and depression in postmenopausal women.