Anxiety, depression, and insomnia are highly prevalent among migraineurs and are associated with negative health consequences. Anxiety and depression, however, unlike insomnia, are usually underdiagnosed, due to less self-reporting of these two conditions. The aim of the present study was to evaluate the risk of anxiety and depression in migraineurs with self-reported insomnia, using a general population-based sample. We used data from a nationwide population-based survey on headache and sleep, the Korean Headache-Sleep Study. Of all 2,695 participants, 143 (5.3%), 268 (10.0%), 116 (4.3%), and 290 (10.8%) were classified as having migraine, anxiety, depression, and self-reported insomnia, respectively. The risk of anxiety (odds ratio [OR] = 7.0, 95% confidence interval [CI] = 3.0-16.7) and depression (OR = 3.3, 95% CI = 1.3-8.5) was significantly increased in migraineurs with self-reported insomnia. The sensitivity, specificity, positive predictive value (PPV), and negative predictive value (NPV) for anxiety in migraineurs with self-reported insomnia were 46.5%, 89.0%, 64.5%, and 79.5%, respectively. For depression, the sensitivity, specificity, PPV, and NPV were 41.7%, 82.4%, 32.3%, and 87.5%, respectively. Self-reported insomnia is likely to be comorbid with anxiety and depression in migraineurs and could thus be a useful predictor of anxiety and depression in migraine.