Migraine and depression often coexist and constitute an important clinical problem. Both disorders are associated with the necessity of chronic treatment, and their mutual coexistence contributes to the phenomenon of drug resistance. Influencing the functioning of patients, they also cause numerous social consequences – affecting the quality of life and achievement of personal goals of patients. This review presents factors that may explain the common pathomechanisms of depression and migraine. Structural and functional disturbances of the central nervous system (CNS), disturbances in the neurotransmitter systems, inflammatory theories, hormonal disturbances, as well as a possible genetic basis were taken into account. Due to the fact that both depression and migraine have a multifactorial etiology and at the present stage of scientific research it is difficult to clearly determine which factor is the most important, such a broad overview has been presented. It is also difficult to determine which of the above-mentioned factors, well documented in international studies, only coexist, and which of them may have a cause-and-effect relationship in the described disorders. Further research into the comorbidity and causes of migraine and depression seems to be worth considering.