Migraine headaches and depression often co-occur within individuals, and both syndromes run in families. However, knowledge about how these disorders relate across generations, as well as how migraine relates to other forms of psychopathology, is sparse. This study examined risk for migraine among female adolescent offspring of parents with different types of psychopathology. The sample was drawn from the Minnesota Twin Family Study, a community-based study of adolescents and their families (n = 674, 17-year-old female adolescents and their biological parents). Diagnoses of maternal, paternal and offspring major depression, antisocial behaviour, alcohol dependence and drug dependence were based on structured interviews. Migraine headaches in each family member were assessed via interviews with the mother. Parental depression, antisocial behaviour and drug dependence were associated with offspring migraine. These associations mostly remained significant even when parental migraine and the corresponding type of psychopathology in offspring were adjusted for. In contrast, there were no significant associations between parental psychopathology and offspring stomach problems, indicating that these associations did not extend to all offspring somatic symptoms. These results emphasize the need to look at antisocial behaviour and substance-related problems when examining associations between migraine and psychopathology, and indicate that more research on inter-generational links between migraine and psychopathology is needed.