Background: Migraine is an important source of social burden and work-related costs. Studies addressing the association of migraine with job stress are rare. Objectives: The aim of this paper was to study the association of job stress components and migraine using structured, validated questionnaires that were part of the Brazilian Longitudinal Study of Adult Health (ELSA-Brasil). Methods: The ELSA-Brasil is a multicentre cohort of 15,105 civil servants (12,096 current workers) in Brazil. Job strain was assessed using the 17-item Brazilian version of the Swedish Demand-Control-Support Questionnaire. Headache episodes in the preceding 12 months were assessed using a questionnaire based on the International Headache Society criteria. We analysed the association between job stress domains and migraine in men and women using adjusted logistic regression and interaction models. Results: We included 3113 individuals without headache and 3259 migraineurs. Low job control [odds ratio (OR) 1.30; 95% confidence interval (95% CI) 1.10–1.53], high job demands (OR 1.37; 95% CI 1.18–1.59) and low social support (OR 1.49; 95% CI 1.29–1.71) were associated with migraine. Job control was more strongly associated with migraine in women (p for interaction = 0.02). High-strain (high demand and low control) jobs were associated with migraine in both men (OR 1.48; 95% CI 1.11–1.97) and women (OR 1.51; 95% CI 1.17–1.95). Conclusions: We observed a strong association between high-strain jobs and migraine. Job control was a stronger migraine-related factor for women. Low social support was associated with migraine in both sexes.