Migraine-a painful, throbbing headache disorder-is the most common complex brain disorder, yet its molecular mechanisms remain unclear. Genome-wide association studies (GWAS) have proven successful in identifying migraine risk loci; however, much work remains to identify the causal variants and genes. In this paper, we compared three transcriptome-wide association study (TWAS) imputation models-MASHR, elastic net, and SMultiXcan-to characterise established genome-wide significant (GWS) migraine GWAS risk loci, and to identify putative novel migraine risk gene loci. We compared the standard TWAS approach of analysing 49 GTEx tissues with Bonferroni correction for testing all genes present across all tissues (Bonferroni), to TWAS in five tissues estimated to be relevant to migraine, and TWAS with Bonferroni correction that took into account the correlation between eQTLs within each tissue (Bonferroni-matSpD). Elastic net models performed in all 49 GTEx tissues using Bonferroni-matSpD characterised the highest number of established migraine GWAS risk loci (n = 20) with GWS TWAS genes having colocalisation (PP4 > 0.5) with an eQTL. SMultiXcan in all 49 GTEx tissues identified the highest number of putative novel migraine risk genes (n = 28) with GWS differential expression at 20 non-GWS GWAS loci. Nine of these putative novel migraine risk genes were later found to be at and in linkage disequilibrium with true (GWS) migraine risk loci in a recent, more powerful migraine GWAS. Across all TWAS approaches, a total of 62 putative novel migraine risk genes were identified at 32 independent genomic loci. Of these 32 loci, 21 were true risk loci in the recent, more powerful migraine GWAS. Our results provide important guidance on the selection, use, and utility of imputation-based TWAS approaches to characterise established GWAS risk loci and identify novel risk gene loci.