Migraine is a prevalent disabling neurological disorder associated with a wide range of medical and psychiatric comorbidities. Population- and clinic-based studies suggest that psychiatric comorbidities, particularly mood and anxiety disorders, are more common among persons with chronic migraine than among those with episodic migraine. Additional studies suggest that psychiatric comorbidities may be a risk factor for migraine chronification (i.e., progression from episodic to chronic migraine). It is important to identify and appropriately treat comorbid psychiatric conditions in persons with migraine, as these conditions may contribute to increased migraine-related disability and impact, diminished health-related quality of life, and poor treatment outcomes. Here, we review the current literature on the rates of several psychiatric comorbidities, including depression, anxiety, and post-traumatic stress disorder, among persons with migraine in clinic- and population-based studies. We also review the link between physical, emotional, and substance abuse, psychiatric disorders, and migraine. Finally, we review the data on psychiatric risk factors for migraine chronification and explore theories and evidence underlying the comorbidity between migraine and these psychiatric disorders.