Headache is one of the most common complaints in neurological clinics. The current study carried out to determine the benefits of combined Coping Skills Training (CST) and Pharmacotherapy (Ph) for patients with migraine. Forty patients with migraine recruited from the outpatient clinics of Zahedan University of Medical Sciences(Iran) and randomly assigned to one of two treatment groups: the first group received combined coping skills training (CST) and pharmacotherapy(Ph); and the second group received the pharmacotherapy alone(Ph). Five patients due to lack of regular presence or filling out the questionnaires excluded from the study. Finally, the results of 35 subjects were analyzed. Data collection was done using the World Health Organization Quality of Life Questionnaire, General Self-Efficacy Scale-Sherer, Ways of Coping Questionnaire and Migraine Headache Index. The results of ANCOVA on post-test, after controlling the pre-test scores, suggested a significant difference in self-efficacy scores between CST+Ph and Ph groups. Moreover, results of ANCOVA did not show significant differences between the two groups in the scores of pain severity, quality of life, and the use of coping strategies. Findings of the present study indicated that coping-skills training, as a psychological intervention, improved self-efficacy. Further longitudinal studies are needed to confirm this conclusion.