Migraine is a disease characterized by cerebral vasodilation. While diabetes has previously been associated with a lower risk of migraine, it is not known if diabetic retinopathy (DR), a retinal peripheral vascular occlusive disease, is a potential biomarker of protection against migraine. Therefore, we aimed to examine diabetic retinopathy as a marker of prevalent and 5-year incident migraine. In a national cohort, we compared patients with diabetes attending DR screening from The Danish National Registry of Diabetic Retinopathy (cases, n = 205,970) to an age- and gender-matched group of patients without diabetes (controls, n = 1,003,170). In the cross-sectional study, a multivariable model demonstrated a lower prevalence of migraine among cases compared with controls (OR 0.83, 95% CI 0.81–0.85), with a lower risk in cases with DR than in those without (OR 0.69, 95% CI 0.65–0.72). In the prospective study, a lower risk of incident migraine was found in a multivariable model in cases (HR 0.76, 95% CI 0.70–0.82), but this did not depend upon the presence of DR. To conclude, in a national study of more than 1.2 million people, patients screened for DR had a lower risk of present migraine, but DR was not a protective marker of incident migraine.