What's more, their risk of depression appears to stay elevated even if the pain stops. Women whose migraines had not troubled them within the past year were just as likely to become depressed as women who were still enduring the sometimes crippling headaches, the study found.

"For women at least, migraine is a risk factor for depression," says lead author Tobias Kurth, M.D., an epidemiologist at Brigham and Women's Hospital, in Boston. "But there's no good biological reason why the link would not apply to men."