The study aimed to evaluate the effects of monoclonal antibodies (mAbs) acting on the calcitonin gene-related peptide (CGRP) or its receptor (anti-CGRP/R mAbs) on migraine comorbidities of depression, anxiety, and fatigue in patients resistant to traditional therapies. The issue addressed in this study is pivotal to unveiling the role of this neurotransmitter beyond pain processing. We conducted an open-label prospective study assessing comorbidities in patients with high frequency (HFEM) and chronic migraine (CM), medication overuse headache (MOH), and resistance to traditional prophylaxis. All patients were treated with anti-CGRP/R mAbs for 3 months. Seventy-seven patients were enrolled with either HFEM (21%) or CM (79%) with or without MOH (56% and 44%, respectively). We identified 21 non-responders (27%) and 56 responders (73%), defined on the reduction ≥50% of headache frequency. The two groups were highly homogeneous for the investigated comorbidities. Disease severity in terms of headache frequency, migraine-related disability, and affective comorbid symptoms was reduced in both groups with different thresholds; allodynia and fatigue were ameliorated only in responders. We found that anti-CGRP/R antibodies improved pain together with affection, fatigue, and sensory sensitization in a cohort of migraine patients resistant to traditional prophylaxis. Our results offer novel perspectives on the early efficacy of anti-CGRP/R mAbs in difficult-to-treat patients focusing on clinical features other than pain relief.