Could a brain steroid ease menopause depression?

Copied word for word from the study's registry entry, so the wording is the study team's rather than ours.

Inclusion Criteria: The participants must meet the following criteria: * Women aged 40-67 years who are perimenopausal or early postmenopausal (within 5 years of the last menstrual period if not surgically postmenopausal), including: * Women who have experienced changes in menstrual cycle frequency or duration, and/or physical symptoms indicative of menopausal transition, as determined by clinician * Women who are using hormonal IUDs (i.e. brands Mirena and Skyla), with FSH level \> 20 mIU/m (as menstrual periods are irregular with IUDs that utilize hormones, making irregular/absent periods difficult to assess as related to the menopausal transition). * Women with significant menopause-related physical symptoms, indicated by any of the following criteria: * Greene Climacteric Scale total scores \> 20 * Greene Climacteric Scale sub-score for vasomotor symptoms \>3 * 5 or more bothersome hot flashes per week (self-reported) * Women meeting DSM-5 criteria for current major depressive disorder (assessed by the SCID) * Baseline HRSD score of ≥ 18 * Subject agrees to abstain from disallowed medications for the duration of the trial Exclusion Criteria: The participants must not meet any of the following criteria: * Vulnerable populations (e.g. pregnant/nursing, severe cognitive or intellectual impairment, incarcerated) * Pregnancy (determined by urine pregnancy test), intending pregnancy or breast feeding * Psychiatric disorder other than MDD that is acute and the primary focus of symptom burden or treatment. * History of bipolar disorder or psychotic disorder * Current substance use disorder * Positive baseline urine drug screen of an illicit substance (in this study: opioids and cocaine,) with the exception of a medication used with a prescription (use of a detected substance that is used with a prescription, such as an opioid pain medication, is not necessarily exclusionary and will be based upon judgment of the PI, particularly in the cases of chronic opioid use). Participants who screen positive for marijuana will be offered a rescreen for eligibility at a later date. * Current eating disorder * Treatment resistant depression (failure of 2 adequate antidepressant trials or electroconvulsive therapy (ECT) during current episode; adequate antidepressant trials are defined as within the US FDA approved dosage for the medication and used for at least 6 weeks, with failure described by the patient as \<50% improvement based on her subjective experience). * High risk for suicidal acts including active suicidal ideation with plan and intent or \> 2 suicide attempts in lifetime or any attempt in the past 6 months * Use of selective estrogen-receptor modulators (SERMs), hormone replacement therapy, hormonal contraceptives (hormonal IUDs allowed), episodic sleep medications (chronic, regular, stable-dose benzodiazepines and hypnotics such as zolpidem, Sonata (Zaleplon), and Lunesta (Eszopiclone) OR sleep-seating antihistamines such as Unisom (Doxylamine succinate) or diphenhydramine allowed) within 2 weeks of the baseline visit and randomization. Antidepressants will be allowed for those participants who have been taking the antidepressant for 6 weeks with a stable dose for at least 4 weeks. * Use of natural menopause and depression supplements, phytoestrogens, soy-based medications, steroids within 2 weeks of baseline visit and randomization. * Use of any disallowed medications (specified in the Excluded Concomitant Medication section below). * Women who have received a gonadal hormonal intervention within 1 month prior to study entry (stable thyroid medications are allowed). * Not using a medically approved method of birth control, if sexually active and not 12 or more months since last menstrual period IUDs, condoms, abstinence are acceptable forms of contraception in this study; due to the possible interactions with the study medication, oral contraceptive pills will be prohibited. * Uncontrolled hypertension (\>160/95mmHg) * Active coronary artery disease, atrial fibrillation, stroke, deep vein thrombosis, pulmonary embolism or blood clotting disorder * Any severe, life threatening or unstable medical condition that, based on clinician-judgment, would make participation in the study unsafe or inappropriate * Personal or first degree family history of known hormone sensitive tumors * History of allergic reaction or side effects with prior pregnenolone use * Clinically significant laboratory or physical examination findings * Concurrent enrollment in another clinical trial Exclusion of Concomitant Medications: * Selective estrogen-receptor modulators (SERMs) * Hormone replacement therapy * Hormonal contraceptives, excluding Mirena IUD or other IUD with localized progesterone * Natural menopause or antidepressant supplements * Episodic sleep medications (chronic, regular, stable-dose benzodiazepines and hypnotics such as zolpidem, Sonata (Zaleplon), and Lunesta (Eszopiclone) OR sleep-sedating antihistamines such as Unisom (Doxylamine succinate) or diphenhydramine allowed) * Sub-therapeutic dosages of antidepressants used for other indications will be permissible with the exclusion of SSRIs, SNRIs, and Wellbutrin. * Phytoestrogens * Soy-based medications or supplements