In recent years, numerous efforts have been made to identify reliable biomarkers useful in migraine diagnosis and progression or associated with the response to a specific treatment. The purpose of this review is to summarize the alleged diagnostic and therapeutic migraine biomarkers found in biofluids and to discuss their role in the pathogenesis of the disease. We included the most informative data from clinical or preclinical studies, with a particular emphasis on calcitonin gene-related peptide (CGRP), cytokines, endocannabinoids, and other biomolecules, the majority of which are related to the inflammatory aspects and mechanisms of migraine, as well as other actors that play a role in the disease. The potential issues affecting biomarker analysis are also discussed, such as how to deal with bias and confounding data. CGRP and other biological factors associated with the trigeminovascular system may offer intriguing and novel precision medicine opportunities, although the biological stability of the samples used, as well as the effects of the confounding role of age, gender, diet, and metabolic factors should be considered.