Gonadal steroids affect a variety of brain processes. Cognitive consequences of hormonal changes associated with menopause are of scientific interest and of relevance to public health. Natural menopause is a normal physiological process that can only be directly studied through observational research. Similarly, surgical menopause in humans is rarely directly amenable to experimental research. Causality with respect to cognitive outcomes is, therefore, difficult to infer. Cross-sectional and longitudinal findings from the Melbourne Women's Midlife Health Project, the Study of Women's Health Across the Nation and other midlife cohorts suggest that cognitive consequences of the natural menopausal transition are probably small, at least during midlife and at least for episodic memory, which is a key cognitive domain. The data for episodic memory are the most robust. Midlife episodic memory performance is similar both shortly before and after natural menopause, and serum estradiol concentration in midlife is not associated with episodic memory performance. Effects of natural menopause on other cognitive domains, cognitive consequences of surgical menopause and late-life cognitive consequences of midlife hormonal exposures are less well understood and merit continued study.