Depression is one of the most important health problems worldwide. Women are 2.5 times more likely to experience major depression than men. Evidence suggests that some women might experience an increased risk for developing depression during “windows of vulnerability”, i.e., when exposed to intense hormone fluctuations, such as the menopause transition. Indeed, this period is associated with different symptoms, including vasomotor, depressive, and cognitive symptoms, which have all been shown to worsen as women approach menopause. Even though hormonal therapy represents the most effective treatment, side effects have been reported by several studies. Therefore, an increased number of women might prefer the use of alternative medicine for treating menopausal symptoms. N-3 long-chain polyunsaturated fatty acids (n-3 LCPUFAs) are included among these alternative treatments. We here provide a review of studies investigating the effects of n-3 LCPUFAs on hot flashes and depressive and cognitive disorders in menopausal women. The reported results are scattered and heterogeneous. In conclusion, a beneficial role of n-3 LCPUFAs in hot flashes, and depressive and cognitive symptoms related to menopausal transition is still far from conclusive.