Background: Individually both migraine and post-traumatic stress disorder (PTSD) prevalence estimates are higher among women. However, there is limited data on the association of migraine and PTSD in women during pregnancy. Methods: We examined the association between migraine and PTSD among women attending prenatal clinics in Peru. Migraine was characterized using the International Classification of Headache Disorders (ICHD)-III beta criteria. PTSD was assessed using the PTSD Checklist-Civilian Version (PCL-C). Multivariable logistic regression analyses were performed to estimate odds ratios (OR) and 95% confidence intervals (CI) after adjusting for confounders. Results: Of the 2922 pregnant women included, 33.5% fulfilled criteria for any migraine (migraine 12.5%; probable migraine 21.0%) and 37.4% fulfilled PTSD criteria. Even when controlling for depression, women with any migraine had almost a 2-fold increased odds of PTSD (OR: 1.97; 95% CI: 1.64–2.37) as compared to women without migraine. Specifically, women with migraine alone (i.e. excluding probable migraine) had a 2.85-fold increased odds of PTSD (95% CI: 2.18–3.74), and women with probable migraine alone had a 1.61-fold increased odds of PTSD (95% CI: 1.30–1.99) as compared to those without migraine, even after controlling for depression. In those women with both migraine and comorbid depression, the odds of PTSD in all migraine categories were even further increased as compared to those women without migraine. Conclusion: In a cohort of pregnant women, irrespective of the presence or absence of depression, the odds of PTSD is increased in those with migraine. Our findings suggest the importance of screening for PTSD, specifically in pregnant women with migraine.