Background: Anxiety and mood disorders have been shown to be the most relevant psychiatric comorbidities associated with migraine, influencing its clinical course, treatment response, and clinical outcomes. Limited information is available on how specific anxiety and depression symptoms are related to migraine. Symptoms-based approach, a current trend in mental health research, may improve our understanding in migraine comorbidity. The purpose of this study was to analyze how anxiety and depression aspects are related to migraine through a symptom-based approach. Methods: We studied 782 patients from the general population who completed a self-administered questionnaire assessing demographics, headache features, anxiety and depression symptoms. A binary logistic regression analyses were conducted to test the association between all four ratings in GAD-7 (anxiety) and PHQ-9 (depression) scales subitems as covariates, and migraine vs no headache as the outcome. Results: The leading Odd Ratios (OR) observed in individuals with migraine relative to those without migraine were anxiety related, "Not being able to stop or control worrying" on a daily basis [OR (CI 95%)] 49.2 (13.6-178.2), "trouble relaxing" 25.7 (7.1-92.6), "Feeling nervous, anxious or on edge" on a daily basis 25.4 (6.9-93.8), and "worrying too much about different things" 24.4 (7.7-77.6). Although the hallmark symptoms of depression are emotional (hopelessness and sadness), the highest scores found were physical: apetite, fatigue, and poor sleep. Irritability had a significant increase in migraine risk [OR 3.8 (1.9-7.8) if experienced some days, 7.5 (2.7-20.7) more than half the days, and 22.0 (5.7-84.9) when experienced nearly every day]. Conclusions: Anxiety was more robustly associated with increase in migraine risk than depression. Lack of ability to properly control worrying and to relax are the most prominent issues in migraine psychiatric comorbidity. Physical symptoms in depression are more linked to migraine than emotional symptoms. A symptom-based approach helps clarifying migraine comorbidity and should be replicated in other studies.