Migraine is a highly prevalent and disabling neurological disorder associated with a wide range of psychiatric comorbidities. In this manuscript, we provide an overview of the link between migraine and several comorbid psychiatric disorders, including depression, anxiety and post-traumatic stress disorder. We present data on psychiatric risk factors for migraine chronification. We discuss the evidence, theories and methods, such as brain functional imaging, to explain the pathophysiological links between migraine and psychiatric disorders. Finally, we provide an overview of the treatment considerations for treating migraine with psychiatric comorbidities. In conclusion, a review of the literature demonstrates the wide variety of psychiatric comorbidities with migraine. However, more research is needed to elucidate the neurocircuitry underlying the association between migraine and the comorbid psychiatric conditions and to determine the most effective treatment for migraine with psychiatric comorbidity.