Background <p>Migraines have been associated with nutritional imbalances within the brain, sparking ongoing interest in the possible association between dietary elements, including milk intake, and the occurrence of migraines. Nevertheless, the exact nature of the connection between milk consumption and migraines remains unclear.</p> Methods <p>This cross-sectional analysis sought to explore the association between milk intake and the prevalence of migraines. The study utilized data from individuals aged 20 and above who participated in the National Health and Nutrition Examination Survey from 1999 to 2004. In our study, we meticulously gathered comprehensive data on severe headaches or migraines, milk consumption, along with critical variables such as age, sex, marital status, and body mass index, among others. Milk consumption among participants was ascertained through a questionnaire. Logistic regression modeling and subgroup analyses were employed to evaluate the association between milk consumption and the incidence of severe headaches or migraines.</p> Results <p>Among the 8850 participants, 19.98% (1768/8850) were identified as having migraines. Compared to individuals with only regular/whole milk consumption in the past 30 days, the adjusted OR values for only skim milk consumption in the past 30 days were 0.73 (95%CI: 0.60–0.89, <i>p</i> = 0.001), 0.78 (95%CI: 0.64–0.95, <i>p</i> = 0.014), and 0.77 (95%CI: 0.63–0.93, <i>p</i> = 0.009), respectively.</p> Conclusion <p>A notable association was detected between the type of milk intake and the occurrence of migraines. These results lay the groundwork for future investigations into the role of milk consumption in migraine management, potentially informing strategies for alleviating migraine symptoms.</p>