Do migraines and depression have any connection?

Not necessarily: Migraine headaches and depression seem to be two distinct and separate entities, but people with chronic migraines can become depressed due to the disabling nature of chronic "migraines". Those folks who have chronic depression on the other hand may also have migraine headaches. Headaches in those folks are still a separate entity but can serve to make their depression worse.

Yes: Try are frequently seen together and in the same families.

Yes: Migraine is associated with anxiety depression panic disorder irritable bowel syndrome painful periods and even some pregnancy disorders.