Past epidemiological and clinical research has identified depression as the most common psychiatric disorder associated with headache. The present study carried out in a neurology headache clinic showed that the major associations were with current anxiety disorders, especially panic and related conditions. These findings were particularly true of the subgroup of migraine with aura; in the relatively few patients with mood disorders, depression was nearly always comorbid with panic or other anxiety disorders. Past history of depression was mainly a characteristic of the tension headache group. These data are compatible with the hypothesis that migraine, especially that with aura, panic disorder and some forms of depressive illness are part of the same spectrum.