Investigations of migraine comorbidity have confirmed its association with diverse psychiatric conditions. This association appears to be stronger for major depression and anxiety disorders, but comorbidity has also been reported with substance abuse and certain mood disorders. This literature also indicates that greater psychiatric comorbidity exists for migraine sufferers with aura than without. There is evidence that psychiatric comorbidity is higher in transformed migraine than in episodic migraine. However, research into the possible mechanisms underlying these associations remains limited. Subjects with migraine should be carefully screened for depression, which should be managed to prevent transformation of migraine, to increase quality of life and to gain more successful migraine therapies.