Migraine and major depressive disorder (MDD) are comorbid, moderately heritable and to some extent influenced by the same genes. In a previous paper, we suggested the possibility of causality (one trait causing the other) underlying this comorbidity. We present a new application of polygenic (genetic risk) score analysis to investigate the mechanisms underlying the genetic overlap of migraine and MDD. Genetic risk scores were constructed based on data from two discovery samples in which genome-wide association analyses (GWA) were performed for migraine and MDD, respectively. The Australian Twin Migraine GWA study (N = 6350) included 2825 migraine cases and 3525 controls, 805 of whom met the diagnostic criteria for MDD. The RADIANT GWA study (N = 3230) included 1636 MDD cases and 1594 controls. Genetic risk scores for migraine and for MDD were used to predict pure and comorbid forms of migraine and MDD in an independent Dutch target sample (NTR-NESDA, N = 2966), which included 1476 MDD cases and 1058 migraine cases (723 of these individuals had both disorders concurrently). The observed patterns of prediction suggest that the ‘pure’ forms of migraine and MDD are genetically distinct disorders. The subgroup of individuals with comorbid MDD and migraine were genetically most similar to MDD patients. These results indicate that in at least a subset of migraine patients with MDD, migraine may be a symptom or consequence of MDD.