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Abstract Background People with multiple sclerosis (MS) have an increased risk of migraine. However, little is known about migraine and other headaches during the prodromal phase (before MS symptom onset). Our objective was to study the risk of migraine in women with MS before MS onset. Methods A nationwide, prospective cohort study of women participating in the Norwegian Mother, Father, and Child cohort study 1999–2008. The women reported the occurrence of migraine and other headaches prior to or during pregnancy. We identified women who later developed MS through data linkage with national health registries in 2018. We excluded women with an established MS diagnosis (n = 125) and women who had experienced their first clinical symptom of MS, but not yet received an MS diagnosis (n = 91). The reference group comprised all other women in the cohort (n = 85,292). We used logistic regression to estimate adjusted odds ratios (aORs) with 95% confidence intervals (95% CIs). Results Two hundred and forty-six women developed MS during follow-up. Of these, 116 women had MS symptom onset after 1–5 years, 92 after 6–10 years, and 38 after 10 years. Migraine was more common among women who developed MS compared to the reference group, 18% vs 11%, aOR 1.6 (1.2–2.3), adjusted for age, smoking, socioeconomic status and overweight. The risk of other headaches was similar for women who developed MS compared to the reference group, 29% vs 27%, aOR 1.1 (0.8–1.4). Migraine was reported by 21 of 116 (18%) women with $$\le$$ ≤ 5 years until MS symptom onset (aOR 1.7 [1.1–2.8]) and 19 of 92 (21%) women with 6–10 years until MS symptom onset (aOR 1.9 [1.1–2.8]. Only three of 38 (8%) women with > 10 years until MS symptom onset reported migraine, aOR 0.7 (0.2–2.2). Conclusions Women with MS have increased risk of migraine, but not other headaches, up to a decade before the onset of classical MS symptoms. This supports that migraine can be a symptom of the MS prodrome. Special attention in people with migraine may lead to earlier recognition of MS.