Background Depression is frequently described to occur in migraine, and depression screening questionnaires are commonly used to evaluate depressive symptoms in patients with migraine. The present study aimed to investigate how the most common depression screening tools are used in migraine studies to determine whether they are applied and interpreted correctly. Methods PubMed was systematically searched, and we included any study using the Beck Depression Inventory (BDI), Patient Health Questionnaire-9 (PHQ-9), Hospital Anxiety Depression Scale (HADS) or Hamilton Depression Rating Scale (HAM-D). The study included adults diagnosed with migraine based on the International Classification of Headache Disorders (ICHD-2 or ICHD-3). Results The literature search generated 78 studies. Thirty-five (45%) of the included studies used a depression screening tool as evidence of depression. This applied to 53, 46, 47 and 13% of studies using PHQ, BDI, HADS and HAM-D, respectively. Only one study out of 35 confirmed the diagnosis with a diagnostic interview. The data presentation and interpretation across the studies was highly heterogeneous. Conclusions Screening tools as evidence of depression in patients with migraine may lead to inaccurate estimates of depression among migraine patients. There is a need for guidelines on and validation of depression screening tools in patients with migraine.