Migraine headache is often timed with the menstrual cycle. Some studies have reported reduced risk of breast cancer in migraineurs but most of those did not distinguish menstrually-related from non-menstrually-related migraine. To examine the possible associations between breast cancer and migraine overall and between cancer subcategories and the two migraine subtypes, we used a cohort study of 50,884 women whose sister had breast cancer and a sister-matched case-control study including 1,418 young-onset (<50 years) breast cancer cases. We analyzed the two studies individually and also in tandem via a hybrid Cox model, examining subcategories of breast cancer in relation to menstrually-related and non-menstrually-related migraine. History of migraine was not associated with breast cancer overall. Migraine showed an inverse association with ductal carcinoma in situ (HR = 0.77; 95% CI (0.62,0.96)). Also, women with non-menstrually-related migraine had increased risk (HR = 1.30, 95% CI (0.93,1.81)) while women with menstrually-related migraine had decreased risk (HR = 0.63, 95% CI (0.42,0.96)) of hormone-receptor-negative (ER-/PR-) cancer, with a significant contrast in estimated effects (P = 0.005). While replication of these subset-based findings will be needed, effect specificity could suggest that while migraine has little overall association with breast cancer, menstrual migraine may be associated with reduced risk of ER-/PR- breast cancer.