Background An association between depression and headache is well established, but the specificity to migraine is unclear. Aims To investigate the specificity of the association of depression and migraine. Method People with recurrent depression (n=1259) were compared with psychiatrically healthy controls (n=851) to investigate headache defined according to international Headache Society criteria in each group. Results All headache types were more prevalent in the case group than in the controls. However, the strongest association was between depression and migraine with aura (OR=5.6). Among participants with recurrent headaches, migraine with aura (but not other forms of headache) was highly significantly associated with depression. Conclusions The data suggest that not only is there a general relationship between headache and depression but also that among people with recurrent headache there is a specific association between depression and migraine with aura. The association is likely to be explained by overlapping aetiological risk factors.