There has been a proliferation of studies demonstrating important sex differences in cognitive aging and dementia, and with this an increased interest in the role of menopause and sex steroid hormones in women’s brain health. Foundational longitudinal studies of cognitive changes from the premenopause to perimenopause stage have shown reliable declines in verbal memory, with variable findings in processing speed, attention/working memory and verbal fluency. Continued research is needed to advance understanding of the range of cognitive domains affected, the duration of cognitive changes, the generalizability of these changes across cultures, the factors that account for such changes and the factors that can improve cognition at this time. In this article, we briefly review and draw on findings from large longitudinal studies of cognitive changes across the menopause transition to inform the design of future studies on this topic. We focus on key issues such as objective versus subjective cognitive measures; cognitive domains and tests; staging menopause; study design; mediators of cognitive effects (including hormones and menopause symptoms); and consideration of key covariates. We suggest that a more uniform and evidence-based approach to the investigation of these issues can advance the quality of the science in menopause and cognition.