According to guidelines for the NHS, HRT can be considered for menopausal symptoms such as sleep problems and hot flushes.
There is limited understanding of the effects of menopause and HRT use on the brain, memory and mood, say the researchers.
The study found women on HRT were more likely to suffer poor mental health. But may of those already had poorer mental health before being prescribed the medication.
Co-researcher Dr Christelle Langley said it was important to recognise the variety of struggles that can come with menopause.
“We all need to be more sensitive to not only the physical, but also the mental health of women during menopause.
“There should be no embarrassment in letting others know what you’re going through and asking for help.”