Migraine has been linked with an increased risk of stroke and an increased prevalence of clinically silent brain lesions and white-matter hyperintensities. As it is known that stroke and structural brain lesions are associated with an increased risk of cognitive decline, it has been hypothesized that migraine may be a progressive brain disorder and associated with an increased risk of cognitive impairment. Given the prevalence of migraine in the population, especially among women, and the aging of the population, an association between migraine and cognitive impairment would have substantial public health implications. In this review, we will summarize the existing evidence evaluating the association between migraine and cognitive function. Additionally, we will discuss methodological issues in migraine and cognitive function assessment and elaborate on study design strategies to address this important question.