Neuroimaging studies have identified frontal lobe brain abnormalities in migraineurs. Neuropsychological investigations highlighted frontal lobe related cognitive impairments in migraineurs, including working memory and executive function deficits. The relationship between brain anatomy and cognitive function in migraine, however, is unclear. The aim of this study was to simultaneously investigated cortex structure and executive function (EF) in patients with migraine and control subjects. Thus, we assessed grey matter (GM) density in 25 adult patients with migraine, compared to age and sex-matched control subjects, using magnetic resonance imaging (MRI) and voxel-based-morphometry (VBM), and we measured EF in the same population, employing three EF tasks of the Maudsley attention and response suppression (MARS) battery. Migraineurs, compared to control subjects, showed decreased frontal and parietal lobe GM density and slower response time to task set-shifting and, the delayed response time correlated significantly with reduced GM density of the frontal lobes in migraineurs. Frontal and parietal lobe abnormalities in migraineurs could be an underlying cause of significantly slower response time during cognitive set-shifting.