Migraine and major depressive disorders are common comorbid conditions. The purpose of this cross-sectional study was to assess how well the Patient Health Questionnaire (9 items) and the Hospital Anxiety and Depression Scale perform as depression screening tools in migraine patients attending a headache clinic, determine the prevalence of depression in this patient population using a gold standard semi-structured psychiatric interview, and examine disability and quality of life for these patients. The Patient Health Questionnaire (cut-point 14) and the Hospital Anxiety and Depression Scale (cut-point 11) produced an optimal balance of psychometric properties for the studied migraine population. The point prevalence of depression was 25.0% (95% CI 19.0-31.0), and the prevalence of untreated depression was 17.0% (95% CI 10.8 – 23.2). Patients with both migraine and depression had significantly higher degrees of disability and a poorer quality of life as compared to patients without depression.