Will progesterone cream help with peri-menopausal symptoms like depression, anxiety?

Unlikely. In my clinical experience it is highly unlikely, although individual results might vary. It can't hurt to try for a short while, but don't expect a miracle. Further, be aware the otc 'progesterone creams' rarely contain any actual Progesterone (especially the mexican yam extracts, ) and the amount and bioavailability is pretty unreliable - sorry to say.