Even if the bidirectional co-morbidity between migraine and depression has been supported by epidemiological and genetic studies, many aspects of this association have not been completely understood. This may be due to the heterogeneous character of migraine and depression as well as to their multifactorial pathogenesis. In this review, we have briefly reported the more recent findings published about the co-morbidity between migraine and depression by discussing the above reported issues and the relative clinical and therapeutic implications.