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9 reviewsObjective: To investigate convergent peripheral molecular mechanisms linking migraine and major depressive disorder (MDD) and to prioritize shared blood-based biomarkers.Methods: Peripheral blood transcriptomic datasets from migraine (PRJEB40032) and MDD (GSE98793) were integrated to identify shared differentially expressed genes (DEGs) and enriched pathways, with independent cohorts (migraine PRJEB67312; MDD GSE76826) used for validation. Candidate biomarkers were prioritized using machine learning (LASSO, SVM-RFE) and evaluated by receiver operating characteristic (ROC) curves. Immune cell infiltration was assessed using CIBERSORT, regulatory networks were reconstructed, and potential therapeutic compounds were predicted through DSigDB.Results: We identified 122 shared DEGs, enriched in innate immune activation with relative suppression of adaptive immune programs. Pentraxin 3 (PTX3) and haptoglobin (HP) were identified as diagnostic biomarkers, showing strong but variable performance. In training, PTX3 achieved AUCs of 0.912 (migraine) and 0.644 (MDD), while HP reached 0.767 and 0.661, respectively. The combined model yielded AUCs of 0.938 (training) and 0.736 (validation) for migraine, and 0.683 (training) and 0.775 (validation) for MDD, consistent with validation trends. Immune deconvolution showed increased neutrophils/monocytes across disorders, correlating positively with PTX3 and HP expression. Regulatory analysis implicated chromatin remodeling and inflammatory TFs, while drug repurposing analysis identified anti-inflammatory compounds such as withaferin A and myricetin.Conclusion: Our analysis identifies PTX3 and HP as blood-based biomarkers capturing a shared innate immune signature in migraine and MDD. These findings highlight convergent immune dysregulation and support biomarker-informed diagnostics and therapeutic strategies for comorbid migraine–depression.