Migraine is one of the most disabling disorders in the world, associated with poor quality of life. Migraine prevention strategies have increasingly evolved since monoclonal antibodies against the calcitonin gene-related peptide (CGRP), or its receptor, were identified. CGRP is the ideal target of monoclonal antibodies (mAbs). In particular, erenumab is the mAb that has shown good therapeutic efficacy in reducing pain intensity and having high tolerability. In this study, we aimed to investigate the efficacy of erenumab on both cognitive performance and psychological well-being. This was a pilot study with a retrospective design that included 14 subjects (2 males and 12 females), with a mean age of 52.29 ± 9.62, who attended the Headache and Migraine outpatient clinic of the IRCCS Centro Neurolesi Bonino-Pulejo of Messina. The evaluation consisted of measuring cognitive and psychological functioning. Comparing clinical and psychometric test scores between baseline and follow-up, we found a significant improvement in both cognitive performance and quality of life. We also observed a decrease in migraine disability. Our findings have shown improvements in global cognitive performance and quality of life in migraine patients taking erenumab.