Background: Peri- and post-menopausal women are vulnerable to suffer from mental health problems including depression, anxiety, and stress, which might have increased during the COVID-19 pandemic. Objective: To estimate the prevalence of depression and associated factors among peri- and post-menopausal women during the COVID-19 pandemic in Chandigarh. Materials and Methods: A community-based cross-sectional study was conducted among 200 urban peri- and post-menopausal women of age 40–60 years in Chandigarh, from May to June 2021. Patient Health Questionnaire-9, Generalized Anxiety Disorder 7, and EuroQol-5D validated tools were used to screen depression, anxiety, and quality of life (QOL). Fear of COVID-19 scale was developed as part of this study was used to assess the fear related to COVID-19 infection. Data analysis was done using the Statistical Package for the Social Sciences (SPSS) software version 26.0. Binary multivariate logistic regression model was used to identify the predictors. Results: The prevalence of depression was 39% and anxiety 29.5% among peri-and post-menopausal women. The fear of COVID-19 infection (adjusted odds ratio [aOR] 8.43, confidence interval [CI]: 1.99–35.64; aOR 10.54, CI: 2.76–40.24) and sleeplessness (aOR 13.29, CI: 3.22–54.82) were the significant ( P < 0.005) predictors of depression and anxiety, respectively. Fearful peri- and post-menopausal women (aOR 5.94, CI: 2.68–13.13) and widow status (aOR 7.08, CI: 1.10–45.28) were the significant ( P < 0.005) predictors of poor QOL. Conclusions: The prevalence of depression was high among peri- and post-menopausal women during the COVID-19 pandemic. Fear of getting COVID-19 infection was significantly associated with depression, anxiety, and poor QOL.