Background Migraine and major depressive disorder (commonly referred to as depression) are both common disorders with a significant impact on society. Studies in both clinical and community-based settings have demonstrated a strong relationship between migraine and depression. In addition to complicating the diagnosis, depression that is comorbid with migraine may lower treatment adherence, increase risk of medication overuse and is associated with migraine chronification, thus leading to higher direct and indirect costs and poorer health-related outcomes with increased disability. Aim The aim of this review is to summarise the current knowledge on the genetic epidemiology of migraine and depression and the possible biological mechanisms underlying their comorbidity. Methods We present a narrative review reporting on the current literature. Results and conclusions Epidemiological findings indicate that there is a bidirectional relationship between migraine and depression, with one disorder increasing the risk for the other and vice versa, suggesting shared biological mechanisms. Twin and family studies indicate that this bidirectional relationship can be explained, at least partly, by shared underlying genetically determined disease mechanisms. Although no genes have been robustly associated with the aetiology of both migraine and depression, genes from serotonergic, dopaminergic and GABAergic systems together with variants in the MTHFR and BDNF genes remain strong candidates.