BACKGROUND: High prevalence of psychiatric comorbidities associated with migraine increases the risk of evolution from episodic migraine to chronic migraine. This study investigated the effects of eight weeks of aerobic exercise and vitamin D supplementation on psychiatric comorbidities in men with migraine and vitamin D insufficiency. METHODS: Forty-eight participants took part in this randomized controlled clinical trial and were allocated into four groups: aerobic exercise and vitamin D (AE + VD), aerobic exercise and placebo (AE + Placebo), vitamin D (VD), and Placebo. AE + VD and AE + Placebo groups performed three aerobic exercise sessions per week for eight weeks and received a vitamin D supplement and placebo, respectively. The VD group received a vitamin D supplement, and the Placebo group received a placebo for eight weeks. The depression severity, quality of sleep, and physical self-concept were measured at baseline and after eight weeks. RESULTS: The results showed that depression severity was significantly lower in AE + VD compared to AE + Placebo, VD, and Placebo at the post-test. Our results demonstrated that in the post-test, the mean score of sleep quality in AE + VD was significantly lower than AE + Placebo, VD, and Placebo. Finally, the results revealed that after eight weeks of intervention, the physical self-concept in AE + VD was significantly higher than in VD and Placebo groups. LIMITATIONS: Not having complete control of sun exposure and the diet were the limitations. CONCLUSION: The results indicated that the concomitant application of AE and VD supplementation could provoke synergistic effects leading to additional psycho-cognitive health benefits in men with migraine and vitamin D insufficiency.