The Happy Valley actor, 58, was discussing the symptoms she has been experiencing due to the period.
"I'm having the most terrible menopause," she told The Mail on Sunday.
"I've got brain fog. I was in Sainsbury's the other day, and I found myself just stood there in the aisle and could not remember what I was there for. It just comes over you all of a sudden.
"I can't remember things that happened 30 years ago either," she added.
The actor was speaking after the National Television Awards and admitted she used two fans to keep cool at the ceremony due to hot flushes.
Read more: Sarah Lancashire on having ‘brain fog’ amid menopause (PA Media, 2-min read)
Lancashire isn't the only female celebrity to discuss the symptoms of the menopause recently. Jo Whiley recently shared that she had been experiencing brain fog, revealing that she found it "quite alarming".
The presenter, 58, said she noticed she was losing clarity of her thoughts and not being able to find the right word for something.
"The first thing I noticed was losing this clarity of thought in my head. For someone [whose job] is trying to speak to people, to communicate, that was quite scary," she told Good Housekeeping.
Read more: What it feels like to go through early menopause at 32 (Yahoo Life UK, 3-min read)
"It was quite alarming. To suddenly not be able to find a word, for it just to disappear out of my grasp, was very, very unsettling."
The NHS lists brain fog, which includes problems with memory and concentration, as a common symptom of menopause - but why does it happen?
What is brain fog?
According to The Menopause Charity, brain fog is a very common symptom of both menopause and perimenopause (the transitional time between when you start experiencing menopause symptoms but you still have your period).
It adds that many women describe it as their brain feeling like "cotton wool" and that they are more forgetful, can’t remember names, lose items and write seemingly endless to-do lists.
The charity says that sometimes the symptoms of brain fog during menopause can be so severe that some women worry they may have dementia - but brain fog can normally clear up with the right type and dose of hormone replacement therapy (HRT).
Read more: Why we should normalise the menopause and focus on the positives, say experts (Yahoo Life UK, 5-min read)
Why is brain fog a symptom of menopause?
A study from 2013 found that 60% of women suffer from brain fog or problems with memory and concentration during the menopause.
In addition to this, 31% of premenopausal women suffer from memory problems, as do 41% of perimenopausal women and 42% of postmenopausal women.
Scientists now believe that changing hormone levels are responsible for brain fog, as the first hormone level to decrease during menopause is progesterone which can lead to memory problems, irritability and mood swings. A drop in progesterone can also cause sleep issues like insomnia which can in turn lead to further memory problems.
Read more: How menopause can affect your mood and other things you need to know (Yahoo Life UK, 9-min read)
Treating brain fog
The NHS recommends HRT as the main treatment for menopause. The way it works is that it replaces hormones that are at a low level so your hormones are more balanced.
"The main benefit of HRT is that it can help relieve most menopause and perimenopause symptoms, including hot flushes, brain fog, joint pains, mood swings and vaginal dryness," the NHS website reads.
While hot flushes and night sweats are often resolved within a few weeks, symptoms like brain fog can take a little longer to clear.
If you are suffering from brain fog or other menopause symptoms, it’s important to talk to your GP about how you can best mitigate these changes.
Watch: How exercise can help women going through menopause