Migraine patients frequently report cognitive difficulties in the proximity and during migraine attacks. We performed an exploratory comparison of executive functioning across the four stages of the migraine cycle. Consecutive patients with episodic migraine undertook cognitive tests for attention, processing speed, set-shifting, and inhibitory control. Performance was compared between patients in different migraine stages, controlling for attack frequency and prophylactic medication. One hundred forty-three patients (142 women, average age 36.2 ± 9.9 years) were included, 28 preictal (≤48 h before the attack), 21 ictal (during the attack), 18 postictal (≤24 h after attack), and 76 interictal. Test performance (age and literacy adjusted z-scores) was not significantly different across migraine phases, despite a tendency for a decline before the attack. This negative study shows that cognitive performance fluctuates as patients approach the attack. To control for individual variability, this comparison needs to be better characterized longitudinally with a within-patient design.