Migraine is a prevalent neurological disorder that significantly impacts the quality of life for affected individuals. The pathogenesis behind migraines is not yet fully understood, but hormonal changes, especially fluctuations in, estrogen and progesterone levels, have a significant role in the susceptibility of women to migraines. Pregnancy introduces a unique set of challenges for women who experience migraines, as they must navigate the complexities of managing their condition while safeguarding the health of both them and their unborn child. Pharmacological options for treating migraines during pregnancy are limited, and, therefore, there is a growing interest in exploring alternative approaches to migraine symptom relief and management. Physical activity during pregnancy provides a range of benefits, and it has gained attention as a potentially valuable tool for alleviating migraine symptoms in pregnant patients. This review explores the intricate relationship between migraines and pregnancy, emphasizing how physical activity and other alternative approaches may influence the frequency, severity, and overall experience of migraines during pregnancy. Through collaboration with healthcare providers and the adoption of personalized management strategies, women can strike a balance that supports both their own well-being and the healthy development of their unborn child. By examining existing research and emerging insights, we aim to provide a comprehensive understanding of the potential benefits and considerations of incorporating physical activity and other treatment options into migraine management strategies for pregnant women. Further research is needed to elucidate the specific mechanisms linking migraines, pregnancy, and physical activity, enabling the development of more targeted interventions and guidelines.