Coexistence of migraine and depression is a significant clinical problem. Health examination surveys indicate that patients who suffer from migraine are more likely to develop depression than the general population. The inverse relationship is also observed. The etiopathogenesis of both migraine and depression is not fully understood and is probably multifactorial and complex. Neurotransmission disorders, the immune system, and genetic predisposition are considered in the literature. The authors present etiopathogenetic theories of both diseases and their prevalence. They analyze data on the comorbidity of these conditions and discuss likely underlying factors. They describe clinical predictors of depression onset in people with migraine.