Placebos are typically defined as physiologically inactive substances that elicit a therapeutic response. The antipode of the placebo effect is the nocebo effect, or the negative effects of placebo, where unpleasant symptoms (e.g., adverse events) emerge after the administration of placebo. Placebo analgesia is one of the most striking examples of the cognitive modulation of pain perception. Herein we focus on the importance of placebo in headache research. We first review the mechanisms of the placebo effect. We then focus on the importance of placebo in the acute treatment of migraine. We follow by discussing the importance of placebo on the preventive treatment of migraine and our perspectives for the 5 years to come regarding the study of the placebos.