Background: An association between migraine and Major Depression (MD) has been revealed in a number of clinical studies. Both diseases have affected a large global population. More understanding of the comorbidity mechanism of these two diseases can shed light on developing new therapies for their treatment. Methods: To the best of our knowledge, there have not been any researches in the literature based on microRNA (miRNA) biomarkers to investigate the relationship between MD and migraine. In this study, we have discussed the association between these two diseases based on their miRNA biomarkers. In addition to miRNA biomarkers, we have also demonstrated epidemiological evidence for their association based on Taiwan Biobank (TWB) data. Results: Among the 12 migraine miRNA biomarkers, 11 are related to MD. Only miR-181a has no direct evidence to be involved in the mechanism of MD. In addition to the biological biomarker evidence, the statistical analysis using the large-scale epidemiologic data collected from TWB provides strong evidence on the relationship between MD and migraine. Conclusion: The evidence based on both molecular and epidemiological data reveals the significant association between MD and migraine. This result can help investigate the correlated underlying mechanism of these two diseases.