The aim of this study was to assess the role of depression as a predictor of new onset of chronic migraine (CM) among persons with episodic migraine (EM). The American Migraine Prevalence and Prevention (AMPP) study followed 24,000 persons with severe headache identified in 2004. Using random-effects logistic regression, we modeled the probability that persons with EM in 2005 or 2006 would develop CM in the subsequent year. Depression was assessed in two ways, using a validated questionnaire (PHQ-9 score ≥15) and based on self-reported medical diagnosis. Analyses were adjusted for multiple covariates including sociodemographics, body mass index, headache pain intensity, headache frequency, migraine symptom severity, cutaneous allodynia, acute medication overuse, anti-depressant use and anxiety. Of 6,657 participants with EM in 2005, 160 (2.4 %) developed CM in 2006. Of 6,852 participants with EM in 2006, 144 (2.2 %) developed CM in 2007. In fully adjusted models, PHQ-9 defined depression was a significant predictor of CM onset [odds ratio (OR) = 1.65, 95 % CI 1.12–2.45]. There was a depression-dose effect; relative to participants with no depression or mild depression, those with moderate (OR = 1.77, 95 % CI 1.25–2.52), moderately severe (OR = 2.35, 95 % CI 1.53–3.62), and severe depression (OR = 2.53, 95 % CI 1.52–4.21) were at increased risk for the onset of CM. Among persons with EM, depression was associated with an increased risk of CM after adjusting for sociodemographic variables and headache characteristics. Depression preceded the onset of CM and risk increased with depression severity suggesting a potentially causal role though reverse causality cannot be excluded.