There is a high incidence of depression in women presenting to menopause clinics. The aim of this review was to determine if there is an association between depressive symptoms or major depressive disorder (MDD) and vasomotor symptoms (VMS). A systematic review of the literature was conducted according to PRISMA guidelines. 33 relevant publications were found, 12 from three large studies. Overall, we found that there is a bidirectional association between VMS and depressive symptoms. This has been established in well-conducted, large observational studies. There does not appear to be a relationship between VMS and MDD. However, studies examining VMS and MDD were prone to bias making it difficult to draw any conclusions.