Primary headaches--mainly tension-type headache and migraine--affect a significant portion of the population. Depression is also highly prevalent. The co-existence of a primary headache and depression in the same patient therefore might be a coincidence due to the high prevalence of these conditions, but there might be a causal relationship between them, or headaches and depression might have a common background. This review of the literature summarizes the features of the relationship between primary headaches and depression. Depression is more prevalent in headache patients than in the headache-free population. Prospective epidemiological studies suggest a common genetic, biochemical or environmental background behind primary headaches and depression. This theory is supported by the role of the same neurotransmitter systems (mostly serotonin and dopamine) in headaches as well as in depression. Comorbid depression is associated with female gender, higher age, and higher frequency of headaches. Most depression inventories--questionnaires used to screen for the severity of depressive symptoms--contain transdiagnostic items, therefore their use in their original form is limited in organic diseases: due to the somatic items they might overestimate the severity of depression. When examining a headache patient special attention should be paid to the recognition of comorbid depression. The diagnosis of suspected mood disorder could be supported by using simple screening methods, such as the original or the abbreviated versions of standard depression inventories, but the final diagnosis of major depression needs psychiatric evaluation. Quality of life of the headache patient is affected not only by the characteristics of pain (frequency, duration, severity) but also by the disability caused by headache and the associating mood disorder. Recognizing coexisting mood disorder and disability helps to make the best treatment choice for the acute and preventive treatment of headaches. For the dual effect, in headache and comorbid depression, antidepressants should be the first choice among the medications proved to be effective in the prevention of primary headaches. Of the antidepressants the effect of tricyclic compounds (primarily amitriptyline) has been proven for the prevention of both tension-type headache and migraine. Further studies are needed regarding antidepressants with selective serotonin reuptake inhibitor (SSRI) effect.