Women's increased risk for depression during reproductive transitions suggests an involvement of the hypothalamic-pituitary-ovarian (HPO) axis. This is the first systematic review and meta-analysis of HPO functioning in female mood disorders. Inclusionary criteria were: i) women suffering from premenstrual dysphoric disorder (PMDD) or a depressive disorder, ii) assessment of HPO-axis related biomarkers, iii) a case-control design. Sixty-three studies (N = 5,129) were included. There was evidence for PMDD to be paralleled by lower luteal oestradiol levels. Women with depression unrelated to reproductive transition showed lower testosterone levels than healthy controls and there was some evidence for lower dehydroepiandrosterone sulfate levels. There were no differences in HPO-related parameters between women with pregnancy, postpartum, and perimenopausal depression and controls. Women with PMDD and depression unrelated to reproductive transitions exhibit specific changes in the HPO-axis, which potentially contribute to their symptoms. Further research into reproductive mood disorders characterised by extreme endocrine changes is warranted.