BackgroundAnxiety and depression are the most common psychiatric comorbidities in migraine, but their impact on the risk of developing migraine and their gender and age differences are unclear, and research on their associations with migraine-related burdens are limited.ObjectiveTo systematically explore the association between anxiety and depression with migraine and migraine-related burdens, including the risk of developing migraine, as well as migraine frequency, severity, disability, headache impact, quality of life and sleep quality.MethodsA total of 170 migraineurs and 85 sex-and age-matched healthy control subjects were recruited consecutively for this study. Anxiety and depression were assessed using Zung’s Self-rating Anxiety Scale (SAS) and Self-rating Depression Scale (SDS), respectively. Logistic regression and linear regression analyses were used to explore the associations between anxiety and depression with migraine and its burdens. The receiver operating characteristic (ROC) curve was used to evaluate the predictive value of SAS score and SDS score on migraine and its severe burdens.ResultsAfter adjusting for confounders, anxiety and depression remained significantly associated with an increased risk of developing migraine, with odds ratios of 5.186 (95% CI:1.755–15.322) and 3.147 (95% CI:1.387–7.141), respectively. Meanwhile, there were significant additive interactions between the association of anxiety and depression with the risk of developing migraine in gender and age (Pfor interaction <0.05), and the stronger correlations were found in participants with an age ≤ 36 years old and females. In addition, anxiety and depression were significantly independently associated with the migraine frequency, severity, disability, headache impact, quality of life, and sleep quality in migraine patients (Ptrend <0.05). The area under the ROC curve (AUC) of SAS score in predicting developing migraine was significantly higher than that of SDS score [0.749 (95% CI: 0.691–0.801) vs. 0.633 (95% CI: 0.571–0.692),p< 0.0001].ConclusionAnxiety and depression were significantly independently associated with the increased risk of migraine and migraine-related burdens. Enhanced assessment of SAS score and SDS score is of great clinical value for the early prevention and treatment of migraine and its burdens.