The association between migraine and psychiatric disorders is well documented through numerous population-based studies. The results of these studies are coherent and show an increased risk of suffering from depression, bipolar disorders, numerous anxiety disorders, especially post-traumatic stress disorder. This raises the question of stress as a precipitating factor for migraine illness. Psychiatric comorbidity is even more frequent in chronic migraine than in episodic migraine patients. Many prospective studies have shown that psychiatric comorbidity could be considered as a risk factor for migraine chronicization. Psychiatric comorbidity is also responsible for an increase of the frequency of anti-migraine drug intake, a worsening of quality of life and a worsening of functional impairment. It is also responsible for an increase in the direct and indirect costs of migraine. The reason why psychiatric comorbidity is so high in migraineurs is not unambiguous. Multiple causal relationships and common etiological factors are linked. Recently, genome-wide association studies gave leads to a genetic common heritability between major depressive disorder and migraine. For clinicians, an important topic remains how to treat migraineurs with psychiatric comorbidity. These patients suffer frequently from severe migraine or refractory migraine. Antidepressant and anti-convulsive drugs can be useful, as well as psychological therapies. But moreover, it is of utmost importance to propose an integrated multidisciplinary approach to these difficult patients.