Objective: To examine the joint association of migraine headache and major depressive disorder on brain volume in older persons without dementia. Methods: Participants (n = 4,296, 58% women) from the population-based Age, Gene/Environment Susceptibility-Reykjavik Study were assessed for migraine headache in 1967-1991 (age 51 years [range 33-65]) according to modified International Classification of Headache Disorders-II criteria. In 2002-2006 (age 76 years [range 66-96]), lifetime history of major depressive disorder (depression) was diagnosed according to DSM-IV criteria, and full-brain MRI was acquired, which was computer postprocessed into total brain volume (TBV) (gray matter [GM], white matter [WM], white matter hyperintensities) and CSF volume for each study subject. We compared brain tissue volumes by headache categories with or without depression using linear regression, adjusting for intracranial volume and other factors. Results: Compared with the reference group (no headache, no depression) TBV and WM and GM volumes were smaller in those with both migraine and depression (TBV -19.2 mL, 95% confidence interval [CI] -35.3, -3.1, p = 0.02; WM -12.8 mL, CI -21.3, -4.3, p = 0.003; GM -13.0 mL, CI -26.0, 0.1, p = 0.05) but not for those with migraine alone (TBV 0.4 mL, WM 0.2 mL, GM 0.6 mL) or depression alone (TBV -3.9 mL, WM -0.9 mL, GM -2.9 mL). Conclusions: Reporting both migraine and major depressive disorder was associated with smaller brain tissue volumes than having one or neither of these conditions. Migraineurs with depression may represent a distinct clinical phenotype with different long-term sequelae. Nonetheless, the number of subjects in the current study is relatively small and these findings need to be confirmed in future studies.