A significant decrease in estrogen levels puts menopausal women at high risk for major depression, which remains difficult to cure despite its relatively clear etiology. With the discovery of abnormally elevated inflammation in menopausal depressed women, immune imbalance has become a novel focus in the study of menopausal depression. In this paper, we examined the characteristics and possible mechanisms of immune imbalance caused by decreased estrogen levels during menopause and found that estrogen deficiency disrupted immune homeostasis, especially the levels of inflammatory cytokines through the ERα/ERβ/GPER-associated NLRP3/NF-κB signaling pathways. We also analyzed the destruction of the blood-brain barrier, dysfunction of neurotransmitters, blockade of BDNF synthesis, and attenuation of neuroplasticity caused by inflammatory cytokine activity, and investigated estrogen-immuno-neuromodulation disorders in menopausal depression. Current research suggests that drugs targeting inflammatory cytokines and NLRP3/NF-κB signaling molecules are promising for restoring homeostasis of the estrogen-immuno-neuromodulation system and may play a positive role in the intervention and treatment of menopausal depression.