Logistic regression was used to evaluate the relationship between self-reported medical diagnosis of migraine, self-reported depressive symptomology (RDS) and self-reported anxious symptomology (RAS) in the National Health Interview Survey (n = 30 852). Semipartial squared correlations evaluated the population-level variability between RDS, RAS and migraine impairment. Migraine prevalence was 15.2% (overall), 20.5% (women) and 9.4% (men). Migraine risk was higher in participants with RAS [odds ratio (OR) 2.30, 95% confidence interval (CI) 2.09, 2.52), with RDS (OR 2.23, 95% CI 1.93, 2.58), who smoked (OR 1.19, 95% CI 1.09, 1.30), or who consulted a mental health provider (OR 1.45, 95% CI 1.27, 1.65). Although migraine risk was increased in both women (OR 1.93) and men (OR 2.42) with RAS (P < 0.001), men with RAS had a higher migraine risk than did women with RAS (P < 0.001). Only 7% of the variability in migraine impairment (population level) was predicted by variability in RDS and/or RAS.