Migraine is a symptomatically heterogeneous condition, of which headache is just one manifestation. Migraine is a disorder of altered sensory thresholding, with hypersensitivity among sufferers to sensory input. Advances in functional neuroimaging have highlighted that several brain areas are involved even prior to pain onset. Clinically, patients can experience symptoms hours to days prior to migraine pain, which can warn of impending headache. These symptoms can include mood and cognitive change, fatigue, and neck discomfort. Some epidemiological studies have suggested that migraine is associated in a bidirectional fashion with other disorders, such as mood disorders and chronic fatigue, as well as with other pain conditions such as fibromyalgia. This review will focus on the literature surrounding alterations in fatigue, mood, and cognition in particular, in association with migraine, and the suggested links to disorders such as chronic fatigue syndrome and depression. We hypothesize that migraine should be considered a neural disorder of brain function, in which alterations in aminergic networks integrating the limbic system with the sensory and homeostatic systems occur early and persist after headache resolution and perhaps interictally. The associations with some of these other disorders may allude to the inherent sensory sensitivity of the migraine brain and shared neurobiology and neurotransmitter systems rather than true co-morbidity.