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<i>Background and Objectives</i>: The aim of this study was to investigate lifestyle, menopausal symptoms, depression, post-traumatic stress disorder (PTSD) and sleep disorders in post-menopausal women throughout the first wave of the COVID-19 pandemic, including the impact of menopause hormonal therapy (HT). <i>Materials and Methods</i>: Post-menopausal women were given the following questionnaires: socio-demographic characteristics; lifestyle; history of COVID-19; menopause-specific quality of life (MENQOL), the first part of which refers to the pre-pandemic period (“pre COVID-19”) and the second refers to the current period (“during COVID-19”); Beck’s depression inventory (BDI); the impact of event scale-revised (IES-R); and the Pittsburgh sleep quality index (PSQI). <i>Results</i>: One hundred and twenty-six women completed all questionnaires, with a mean age of 55.5 ± 6.0 years. The mean menopause duration was 5.7 ± 5.6 years. Twenty-four women were taking HT. A significant mean weight gain, a reduction in physical activity (respectively <i>p</i> < 0.001) and worsened quality of romantic relationships (<i>p</i> = 0.001) were reported during the pandemic. Menopausal symptoms did not vary significantly throughout the pandemic; however, women taking menopausal HT had lower physical (<i>p</i> = 0.003) and sexual (<i>p</i> = 0.049) MENQOL domain scores, lower depressive symptoms (<i>p</i> = 0.039) and better romantic relationships (<i>p</i> = 0.008). <i>Conclusions</i>: The COVID-19 pandemic caused reduced physical activity, worsened food habits and weight gain in post-menopausal women. They also reported a high rate of severe–moderate PTSD and a negative influence on their romantic relationships. Menopausal HT seems to be a potential protective factor for sexual and physical status and for symptoms of depression.