Menstrual migraine (MM) has a prevalence in the general population of approximately 7%, although it seems to be much higher within the population of females with migraine. Episodes of MM have been reported to be longer, more intense, more disabling, less responsive to acute therapy and more prone to recurrence than those of other types of migraine. MM is demonstrated to have a bi-directional link to affective illnesses such as premenstrual dysphoric disorder and depression. There is clinical and pathophysiological evidence suggesting that the relationship between MM and affective disorders could be linked to ovarian hormones. The aim of this review is to analyze treatment strategies in patients with co-existent MM and affective disorders.