Objective: To determine the prevalence of symptoms of anxiety and depression in Chinese women during and after menopause, and the associated risk factors. Design: Prospective community-based cohort study. Setting: An urban community in Beijing, People's Republic of China. Patient(s): Four hundred and thirty women who had transitioned through natural menopause. Intervention(s): None. Main Outcome Measure(s): Symptoms of anxiety and depression. Result(s): Symptoms of depression were more common than symptoms of anxiety. The prevalence of symptoms of depression rose from 14.5% during premenopause, to 18.2% during the menopausal transition, and 19.6% in the postmenopause period. The prevalence of symptoms of anxiety rose from 3.1% premenopause, to 7.0% during the menopausal transition, and 7.4% in the postmenopause period. Compared with women in the premenopausal stage, perimenopausal and postmenopausal women were more likely to have symptoms of anxiety and depression, but these differences were not statistically significant. Multivariable analysis showed that poor health status, trouble falling asleep, and early awakening were independently associated with symptoms of anxiety, and that a higher body mass index, poor health, low education status, and night sweats were independently associated with symptoms of depression. Conclusion(s): Symptoms of depression were more prevalent than symptoms of anxiety. Our findings suggest that symptoms of anxiety and depression are more common during and after menopause than in premenopausal women. These findings highlight the importance of screening and evaluation of women undergoing the menopausal transition for symptoms of anxiety and depression, especially those with risk factors. © 2019 American Society for Reproductive Medicine