Background: Migraine is a common disabling disease with a higher global prevalence among the adult population. Moreover, there is a frequent coexistence of affective disorders, especially depression, anxiety, and sleep disturbances. This association may cause aggravation of migraine symptoms resulting in the persistence of headache and poor quality of life. This study is designed to investigate the prevalence of migraine in patients with headache. The study has also assessed the prevalence of anxiety, depression, and insomnia and their association with migraine. Disability caused by migraine has also been explored in this study. Materials and Methods: This cross-sectional study included 250 patients of headache. Participants were screened for migraine using ID Migraine. Assessment was made using sociodemographic details, Migraine Disability Assessment Questionnaire, Patient health questionnaire-9, Generalized anxiety disorder-7, and Insomnia Severity Index. Results: Nearly 71.2% of patients had migraine and 28.8% had other types of headache. Depression, anxiety, and insomnia were reported in 33.15%, 37.64%, and 23.03% of participants with migraine, respectively. Patients with migraine had 48% and 85% more chances of developing depression and insomnia, respectively, and more than twice the chance of having anxiety. Moderate and severe disability was reported by 32% and 30.9% of participants, respectively. Depression, anxiety, and insomnia were predisposing risk factors for disability. Conclusion: The association of insomnia, anxiety, and depression is common with migraine and may cause disability in these patients. Hence, their timely assessment may reduce the risk of developing disability in migraine patients.