Background: Migraine and depression are known to be comorbid conditions in non-pregnant women and men. However, the migraine-depression comorbidity among pregnant women, particularly women in developing countries has not been evaluated. Therefore, we evaluated the migraine-depressive symptom relationship in a large cohort of pregnant Peruvian women. Methods: Women who delivered singleton infants (n = 2293) at the Instituto Nacional Materno Perinatal, Lima, Peru were interviewed during the postpartum hospital stay. Women were asked questions related to their lifetime and pregnancy experiences with headaches and migraines. Responses to these questions enabled the classification of "probable" and "strict" migraines according to the International Headache Society diagnostic criteria. Depressive symptoms were assessed using the nine-item Patient Health Questionnaire Depression Subset. Logistic regression procedures were used to estimate adjusted odds ratios (AORs) and 95% confidence intervals (CIs). Results: Approximately 32% of the women reported a history of migraine, while 41% reported experiencing moderate to severe depressive symptoms during pregnancy. Compared with women without a history of migraine, women with strict migraine had AORs of 2.12 (95% CI 1.54-2.93), 1.85 (95% CI 1.16-2.96) and 2.23 (95% CI 1.08-4.62) for moderate, moderately severe and severe depressive symptoms, respectively. Conclusion: This is the first report of a cross-sectional association between migraine and depressive symptoms in pregnant women. If our findings are confirmed, pregnant women with a history of migraine may benefit from increased vigilance for screening and treating depressive symptoms. © 2009 Elsevier B.V. All rights reserved.