Some data indicate that migraine with aura (MA) is more strongly associated with anxiety disorder and depression than migraine without aura (MoA), but the evidence is not conclusive. In the Nord-Trøndelag Health study 1995–1997, a total of 49 205 (75% of the participants) subjects gave valid answers to both HADS (Hospital Anxiety and Depression Scale) and a validated headache questionnaire. Associations between anxiety disorder/depression and MA/MoA were evaluated by multiple logistic regression analysis. Depression (DEP) [odds ratio (OR) 1.7; 95% confidence interval (CI) 1.2, 2.6] and depression with comorbid anxiety disorder (COM) (OR 1.6; 95% CI 1.2, 2.1) were more likely in women having MA than in those with MoA. No stronger association was found for pure anxiety disorder (ANX) in MA vs. MoA (OR 0.9; 95% CI 0.7, 1.5). Among men, we found no difference in prevalence of depression and anxiety disorders between MA and MoA. This is a new finding that might have relevance for both research and clinical treatment.