SummaryWe investigated whether women who participated in a household survey in England were more likely to screen positive for possible generalised anxiety disorder and depression during and after menopause. We used logistic regression in secondary cross-sectional analyses of 1413 participants from the 2014 Adult Psychiatric Morbidity Survey data, adjusting for potential confounders (including age, deprivation score and chronic disease).We found that participants who were post-menopausal were more likely to screen positive for possible depression compared with participants who were pre-menopausal (3.9%v. 1.7%; adjusted odds ratio 3.91, 95% CI 1.23–12.46), but there was no association with perimenopause. We found no evidence of an association between menopausal stage and possible generalised anxiety disorder or symptom score. Clinicians should be aware of the association between menopause and depression, to best support women. Future research could focus on to what extent associations are driven by somatic features, and how this might be modified.