The research, published in the journal Headache, also hints that the relationship may go both ways, and people with clinical depression could have a higher risk of developing migraines, but that finding could have been due to chance, the researchers say.
Migraines are throbbing headaches, sometimes on just one side of the head, that can make a person nauseous and sensitive to light. At times they may be preceded by visual disturbances known as auras. Depression is a serious mental disorder defined by a collection of symptoms that can include sadness, insomnia, fatigue and emotional numbness.
Modgill's group pulled data from the Canadian National Population Health Survey, which profiled over 15,000 people and followed up with them every two years between 1994 and 2007.
Overall, about 15 percent of the people in the study experienced depression and about 12 percent experienced migraines throughout the 12 years of the study.
Cases of depression were significantly more common among people who had migraines at the beginning of the study - 22 percent of migraine sufferers got depressed, versus 14.6 percent of those who didn't have migraines.
That made participants with migraines 80 percent more likely than people without the headaches to develop depression, and the link held up after adjusting for other influences like age and sex.