This narrative review addresses the interconnections among stress, mental disorders and migraine with a specific focus on non-pharmacological interventions that may be effective in improving both migraine and the psychiatric comorbidity. Migraine is often comorbid with depression, anxiety, personality disorders, and sleep disorders. Subjective stress and stressors are common triggers for migraine attacks and are risk factors for chronification, whilst mental disorders and stress responses are closely linked in a bidirectional relation. Recent studies show that psychiatric comorbidity is associated with migraine severity, worse outcomes, increased disability and reduce quality of life. Numerous studies on non-pharmacological interventions for migraine were published and behavioural treatments included biofeedback, cognitive-behavioural therapy, relaxation training, stress management and brief psychodynamic psychotherapy. Taken together, psychological interventions proved to be effective in migraine treatment and a combination of pharmacological and psychological treatment appear to be more effective than either medication or psychotherapy alone. Non-pharmacological interventions effectiveness should be due to the improvement of migraine, stress-related vulnerability and mental disorders together and the combined treatment could prevent the chronification circuit of migraine. Well-designed long-term studies are needed to clarify comparative effectiveness of non-pharmacological techniques in the treatment and the prevention of migraine.