Background: Many studies have revealed high comorbidity and a clear association between temporomandibular disorders (TMD) and migraine. Furthermore, evidence points out that common psychological and behavioral factors might be related to the observed TMD and migraine association. However, this association and the underlying psychological factors are poorly understood. Objective: The main goal of this study was to describe the psychological and behavioral factors involved in TMD myalgia and migraine. Methods: A sample of 142 participants were recruited to form 4 groups: migraine patients (ICHD-III criteria), painful-TMD patients (Myalgia DC/TMD criteria), patients suffering from both pathologies according to the same criteria, and control patients. After a dental and neurological examination, the patients filled several psychological questionnaires validated for the Spanish population to assess anxiety (STAI), depression (DEP), stress coping (CRI), and somatic, anxiety, and depression symptoms (BSI-18). Results: The TMD myalgia patients, in general, showed a state of elevated anxiety, somatization, and reduced coping strategies, while the patients with migraine presented greater anxiety symptoms, depression (dysthymia trait and state), and somatization. Conclusions: According to the data of the present study, situational anxiety (transient emotional state), together with the lack of coping strategies, could be more associated with TMD myalgia, while anxiety, as a more stable and long-lasting emotional state, together with depression, might be more related to migraine. Further longitudinal studies are needed to unravel whether these differentiated profiles are a consequence or possible risk factors for migraine and TMD.