Mood and anxiety disorders are comorbid with migraine. The coexistence of a psychiatric disorder alters the quality of life, the total disability, the course of migraine and the final prognosis; it increases the probability of central sensitization, other chronic pain conditions and the evolution to chronic migraine. All patients presenting with frequent episodic and chronic migraine should be screened for depression and anxiety. When these conditions are present, drugs for migraine prevention that may worsen the psychiatric comorbid disorder have to be avoided. When it is possible, both conditions should be treated with a single agent. Amitriptiline can be used both in mood disorders and migraine prevention. Flunarizine and beta-blockers may help if anxiety is present. Pregabalin has demonstrated efficacy in anxiety disorders and fibromyalgia. Divalproex sodium, topiramate and lamotrigine that have demonstrated efficacy in mood stabilization are also indicated in migraine without aura (divalproex sodium and topiramate) and with aura (lamotrigine). When a specific treatment for the comorbid psychiatric disorder is needed, the selective serotonin reuptake inhibitors or the serotonin norepinephrine reuptake inhibitors are the drugs of choice both in depression and anxiety, and the cognitive behavioural therapy has good evidence of efficacy in anxiety disorders. Vagal nerve stimulation may be an option in patients with refractory chronic migraine and depression.