Objectives: This research examined the familial aggregation of migraine, depression, and their co-occurrence.Methods: Diagnoses of migraine and depression were determined in a sample of 5,319 Australian twins. Migraine was diagnosed by either self-report, the ID migraine^™ Screener, or International Headache Society (IHS) criteria. Depression was defined by fulfilling either major depressive disorder (MDD) or minor depressive disorder (MiDD) based on the Diagnostic and Statistical Manual of Mental Disorders (DSM) criteria. The relative risks (RR) for migraine and depression were estimated in co-twins of twin probands reporting migraine or depression to evaluate their familial aggregation and co-occurrence.Results: An increased RR of both migraine and depression in co-twins of probands with the same trait was observed, with significantly higher estimates within monozygotic (MZ) twin pairs compared to dizygotic (DZ) twin pairs. For cross-trait analysis, the RR for migraine in co-twins of probands reporting depression was 1.36 (95% CI: 1.24–1.48) in MZ pairs and 1.04 (95% CI: 0.95–1.14) in DZ pairs; and the RR for depression in co-twins of probands reporting migraine was 1.26 (95% CI: 1.14–1.38) in MZ pairs and 1.02 (95% CI: 0.94–1.11) in DZ pairs. The RR for strict IHS migraine in co-twins of probands reporting MDD was 2.23 (95% CI: 1.81–2.75) in MZ pairs and 1.55 (95% CI: 1.34–1.79) in DZ pairs; and the RR for MDD in co-twins of probands reporting IHS migraine was 1.35 (95% CI: 1.13–1.62) in MZ pairs and 1.06 (95% CI: 0.93–1.22) in DZ pairs.Conclusions: We observed significant evidence for a genetic contribution to familial aggregation of migraine and depression. Our findings suggest a bi-directional association between migraine and depression, with an increased risk for depression in relatives of probands reporting migraine, and vice versa. However, the observed risk for migraine in relatives of probands reporting depression was considerably higher than the reverse. These results add further support to previous studies suggesting that patients with comorbid migraine and depression are genetically more similar to patients with only depression than patients with only migraine.