The new wave of anti-migraine agents is nothing less than a milestone in our battle to manage this devastating disease. However, concerns have recently increased regarding the safety of these drugs. CGRP, while known as a potent vasodilator, is also a key neural and immune modulator. The roles of CGRP in immune determination, have been studied in depth, with particular focus on its functional significance with respect to common immune challenges i.e., bacterial, viral, fungal and parasitic infections. This review discusses many potential areas of concern in regard to blocking CGRP function and its potential influence on immune milieus during infection, and the risk of adverse effects. Finally, this review recommends specific measures to be taken into consideration when administering anti-CGRP/CGRPR agents.