Psychiatric Comorbidity in Chronic Daily Headache research states people who have chronic pain do not get as depressed as often as people with chronic migraines. So there must be a link or correlation to explain why this is so.
Migraine and psychiatric comorbidity: a review of clinical findings research points to the fact migraine with aura migraineurs are more likely to have depression than those without aura.
Migraine and depression The association with depression is high with migraine with aura and in chronic migraines. They suggest migraine patients are carefully screened for depression.
For more than a century, clinicians and researchers alikehave noted the possible relationship between migraine anddifferent psychological characteristics, including tenden-cies toward depression, perfectionism and repressedaggression. With few exceptions, the previous investiga-tions have been highly consistent in reporting an increasedprevalence of major depressive disorder (MDD) in patientswith migraine. The discrepant studies were characterisedby several methodological differences or limitations thatmay explain the lack of association with MDD. Theseinclude the fact that the sample was not representative ofthe general population or of clinic settings and the cohortstudied was notably younger and had a different sex com-
position than the other published investigations
In a population of subjects aged over 65 years, Wang etal. found that the risk of current depression was muchgreater in migraine sufferers than in non-migraine patients. Merikangas et al. investigated 457 younger subjectsand found an increased risk of developing major depres-sion and anxiety disorders in migraine patients comparedwith controls . Lipton, in a population-based case-con-trol study conducted in a community setting, confirmed ahigher risk of current depression among patients sufferingfrom migraine .
In another paper, Breslau reported that a history ofmigraine is associated with increased frequencies of suici-dal ideation and suicide attempts in patients with majordepression . In the study of Fasmer and Oedegaard, thefrequency of suicide attempts was higher among thepatients having MWA than in patients affected by migraineaura without headache (MAWH). This was despite the factthat the frequency of suicidal thoughts was approximatelyequal in the two groups . In a recent study of 201patients with MDD, the authors compared MWA andMAWH. They observed that the MAWH group had a sig-nificantly lower prevalence of affective temperaments andsuicide attempts . Zwart et al., in a large cross-sec-tional population-based study, observed that the OR fordepression was significantly higher in subjects withmigraine and non-migraine headache compared to theheadache-free group. Moreover, there was a strong lineartrend of higher prevalence of depression with increasingheadache frequency 
toninergic and dopaminergic systems