Migraine affects nearly 12% of the adult population in the United States and causes significant lost productivity and decrements in health-related quality of life. The burden of migraine and the challenge in managing it are increased by the comorbid psychiatric conditions that occur in association with it. Studies in both clinical and community-based settings have demonstrated an association between migraine and a number of specific psychiatric disorders. This review will focus on the relationships between migraine and depression, generalized anxiety disorder, panic disorder, and bipolar disorder. In large scale population-based studies, persons with migraine are from 2.2 to 4.0 times more likely to have depression. In longitudinal studies, the evidence supports a bidirectional relationship between migraine and depression, with each disorder increasing the risk of the other disorder. Migraine is also comorbid with generalized anxiety disorder (Odds Ratio [OR] 3.5 to 5.3), panic disorder (OR 3.7), and bipolar disorder (OR 2.9 to 7.3). A diagnosis of migraine should lead to a heightened level of diagnostic suspicion for these comorbid psychiatric disorders. Similarly, a diagnosis of one of these psychiatric disorders should increase vigilance for migraine. Treatment plans for migraine should be mindful of the comorbid conditions.