Background Menstruation is linked to psychological issues, particularly during its cessation. The premenopausal, perimenopausal, and postmenopausal stages of a woman's life are associated with a higher likelihood of mental health concerns. This study aims to assess the prevalence of stress, anxiety, and depression, as well as identify factors associated with these conditions among perimenopausal women living in urban slums. Material and methods This cross-sectional study was conducted over the course of one year among urban slum women in their perimenopausal age, who were identified through a preliminary survey. The DASS-21 scale questionnaire was used to assess their mental health status. To examine the association between various factors and stress, anxiety, and depression, the Chi-square test was applied, with a significance level set at a p-value less than 0.05. Additionally, binary logistic regression analysis was performed to determine the OR. Results A total of 148 perimenopausal urban slum women participated in the study, of whom 89 (60.1%) were homemakers, 85 (57.4%) had completed primary schooling, and 63 (42.6%) had comorbidities. The mean age of the participants was 43.6 years, and the mean age of menarche was 12.4 years. Regarding mental health, 124 women (83.8%) experienced moderate stress, 112 women (75.7%) had moderate anxiety, and 82 women (55.4%) reported severe depression. Age and marital status were significantly associated with depression, while educational status was notably associated with stress. Conclusions The present study demonstrated a higher prevalence of stress, anxiety, and depression among perimenopausal women, with factors such as educational status, marital status, and age being significantly associated with their mental health. It is essential to raise awareness about the commonality of mental health issues during the perimenopausal stage and provide strategies to help women cope with these challenges.