Migraine is a common neurological disorder impairing the quality of life of patients. The condition requires, as an acute or prophylactic line of intervention, the frequent use of drugs acting on the central nervous system (CNS). The long-term impact of these medications on cognition and neurodegeneration has never been consistently assessed. The paper reviews pharmacological migraine treatments and discusses their biological and clinical effects on the CNS. The different anti-migraine drugs show distinct profiles concerning neurodegeneration and the risk of cognitive deficits. These features should be carefully evaluated when prescribing a pharmacological treatment as many migraineurs are of scholar or working age and their performances may be affected by drug misuse. Thus, a reconsideration of therapy guidelines is warranted. Furthermore, since conflicting results have emerged in the relationship between migraine and dementia, future studies must consider present and past pharmacological regimens as potential confounding factors.