Objective: To conduct a randomized controlled trial to evaluate the effect of a 12-week aerobic exercise program for migraine prevention, plasma cytokines concentrations (TNF-α, interleukin [IL]-1β, IL-6, IL-8, IL-10, and IL-12p70), and anxiety in women with migraine. Methods: Women with episodic migraine (ICHD-II), aged between 20 and 50 years, who had never taken any prophylactic medication, and were physically inactive in the past 12 months were recruited from the university’s hospital and a tertiary headache clinic between March 2012 and March 2015. Migraine attacks were recorded in headache diaries, cytokines were quantified by flow cytometry, and anxiety was assessed by the 7-item General Anxiety Disorder (GAD-7) scale. Blood sampling and psychometric interviews were undertaken on headache-free days. Results: Twenty participants ([mean ± SD] age 33.8 ± 10.5; BMI 26 ± 5.2) were randomly assigned and received intervention (“trained”: n = 10) or entered on a waitlist (“inactive”: n = 10). There were no differences between groups regarding patients’ characteristics and baseline data. Days with migraine (p = 0.001), IL-12p70 levels (p = 0.036), and GAD-7 score (p = 0.034) were significantly reduced in the trained group after the intervention period, but there were no significant changes in these variables in the inactive group. There was no change in the levels of the other cytokines in either group. There were positive correlations between a reduction in IL-12p70 level and a reduction in the number of days with migraine (R2 = 0.19, p = 0.045), and GAD-7 score (R2 = 0.53, p < 0.001). Conclusion: The clinical and psychological therapeutic effects of aerobic exercise in treatment-naïve women with migraine may involve the downregulation of IL-12p70.