This study sought to (1) investigate the association between migraine and both depression and suicidal ideation and (2) to identify the factors independently associated with each of these mental health problems among Canadian men and women with migraine. Data were analyzed from the 2005 Canadian Community Health Survey (CCHS). Presence of migraine was assessed by self-report of a health professional diagnosis. Current depression was measured using the CIDI-SF, and suicidal ideation was based on a question about serious consideration of suicide at any point during the respondent's lifetime. Migraineurs were found to have elevated odds of depression (men: OR = 2.02; 95% CI = 1.70, 2.41; women: OR = 1.89; 95% CI = 1.71, 2.10) and suicidal ideation (men: OR = 1.70; 95% CI = 1.55, 1.96; women: OR = 1.72; 95% CI = 1.59, 1.86) even when adjusting for sociodemographic variables and disability status. The odds of depression and suicidal ideation were higher among both genders of migraineurs who were younger, unmarried and had more activity limitations; associations with poverty and race depended on gender and whether the focus was on depression or suicidal ideation. While screening for depression is already recommended for those with migraine, this research helps identify which migraineurs may require more immediate attention, including those who are younger, unmarried, and experiencing limitations in their activities.