"This study confirms it: Having migraines increases your risk of depression, which we've suspected for many years," said Dr. Timothy A. Collins, a Duke University Medical Center neurologist who was not involved with the research. Collins specializes in headache treatment.

Researchers looked at more than 36,000 women enrolled in the Women's Health Study, and found that after 14 years, depression had developed among those who suffered from migraines at a higher rate than among those who didn't get the throbbing headaches.

Study researcher Dr. Tobias Kurth, an epidemiologist at Brigham and Women's Hospital in Boston, said women who have migraines shouldn't assume they'll develop depression, but should be aware of the link to the increased risk.

Migraines can last four to 72 hours and are often accompanied by pulsating pain, nausea, vomiting and sensitivity to light and sound.

One previous study found that women with more than 15 chronic headaches a month are four times more likely to have depression than women who have fewer than 15.

Collins noted a 2011 Canadian study that found people with migraines were more likely than others to have depression, but people with depression were no likelier than people without the condition to have migraines.

Although some antidepressants have been shown to reduce a high frequency of migraines, there is no evidence that shows that treating migraines will help with depression, Kurth said.

"There are no good theories" to explain the link between depression and migraines, Collins said, though some have suggested hormones play a role. The drop in estrogen levels that occurs prior to menstruation is a trigger for headaches in many of his patients, he said.

Collins recommends that women talk with their doctors about how frequently they have their headaches.