OBJECTIVE: Sex hormones are thought to play an important role in the pathophysiology of depressive disorders in women. This study assessed the associations of total testosterone (T), bioavailable T, estradiol, dehydroepiandrosterone, and sex hormone-binding globulin (SHBG) with depressive symptoms stratified on postmenopausal stage to determine whether the associations were strongest for early postmenopausal women. METHODS: Women (N = 1,824) free of depressive symptoms at baseline (2000-2002) in the Multiethnic Study of Atherosclerosis were categorized into tertiles of years postmenopause: T1, 0 to 10 years; T2, 11 to 20 years; and T3, 21 to 58 years. Multivariable-adjusted relative risks (RRs) and 95% CIs were computed for the incidence of depressive symptoms, as defined by a score of 16 or higher on the Center for Epidemiologic Studies Depression scale at examination 3 (2004-2005). RESULTS: In analysis including all sex hormones, the RR for incident depressive symptoms associated with 1 unit higher log total T was 0.57 (P = 0.13), with log estradiol was 0.78 (P = 0.04), with log SHBG was 1.84 (P = 0.003), and with log dehydroepiandrosterone was 1.45 (P = 0.08) in T1. Without adjustment for SHBG, the RR for log bioavailable T was 0.16 (P = 0.04). However, in T2 and T3, there were no meaningful associations of hormone or SHBG levels with incident depressive symptoms. When stratified by HT use, results were consistent for HT users but attenuated for HT nonusers. CONCLUSIONS: In early postmenopausal women, sex hormones were associated with incident depressive symptoms.