Migraine is often comorbid with depression. Although much of the research on migraine and depression is of an epidemiologic nature, there is an emerging appreciation of clinical issues and the need to adequately treat depression in migraine sufferers. The present article reviews traditional pharmacological and psychological treatments for depression, with special emphasis on migraine patients. It then reviews the evidence base for some of the complementary and alternative treatments for depression that are very popular in both Europe and the United States.