Objective: To measure changes in physical and mental health in six groups of women defined by menopausal status or use of hormone replacement therapy (HRT). Design: Longitudinal study with 2 years follow-up. Participants: Eight thousand six hundred and twenty three women participating in the Australian Longitudinal Study on Women's Health, aged 45–50 years in 1996. Main outcome measures: Changes in the eight dimensions of the Short Form General Health Survey (SF-36) adjusted for baseline scores, lifestyle, behavioural and demographic factors. Results: At baseline, mean scores for five of the eight dimensions of the SF-36 were highest (indicating better state of health or well-being) in pre-menopausal women. There were declines (that is, worsening health) in the SF-36 dimensions in most groups of women. Declines were largest in physical functioning (adjusted mean change of −4.9, standard error (SE) 0.7) and physical role limitation (−5.7, SE: 1.3) in women who remained peri-menopausal throughout the study period and in women taking HRT at the time of either survey (physical functioning: −5.3 (0.7), role physical limitation: −7.5 (1.2)). They were smallest in women who remained pre-menopausal (physical functioning: −3.2 (0.7); role physical limitation: −2.1 (1.1)). Conclusions: Physical aspects of general health and well-being decline during the menopausal transition. Sensitive measures and careful analysis are needed to understand why these changes are worse for peri-menopausal women and those taking HRT.