Although widely studied, the association between migraines (M) and breast cancer (BC) risk remains evasive. In this prospective single-center study, 440 early or locally advanced BC patients were enrolled at IRCCS Humanitas Research Hospital. Clinical and demographical data were collected. Those who suffered from headaches were evaluated with the International Classification of Headache Disorders. M was found to be significantly more prevalent in BC patients: 56.1% versus an expected prevalence of 17% in the global population. M patients showed a higher risk of having stage II or III BC than stage I, which was more frequently found in the non-headache population. Interestingly, the frequency of headache attacks was positively correlated with estrogen ( = 0.11, = 0.05) and progesterone ( = 0.15, = 0.007) expression, especially in patients with migraine without aura. The higher the expression of hormone receptors in BC, the higher the headache frequency. Moreover, patients suffering from headaches showed an overall earlier onset of BC. Our findings challenge the idea of a net preventive role of M on BC, suggesting a rather complex interaction in which M mostly influences some BC subtypes and vice versa. Further multi-center studies with extended follow-up are needed.