The objectives of the SMILE study were to assess anxiety, stress, depression, functional impact and coping behaviours in migraine patients consulting in primary care in France. General practitioners (n = 1467) and 83 neurologists included 5417 consulting migraine patients. Of these patients, 67% were found anxious, of whom 59% were also depressive. Patients with both anxiety and depressive dimensions showed a profile similar to that of chronic migraine patients (severe attacks, poor treatment effectiveness and pronounced stress, functional impact and maladaptive behaviours). A quantitative progression in the levels of stress, maladaptive coping behaviours and functional impact was noted from patients with neither dimension to those with both anxious and depressive dimensions. Stress and maladaptive coping strategies were found to be major determinants of anxiety. Anxious and depressive dimensions were associated with elevated consumption of acute treatments for migraine and low treatment effectiveness. Stress and anxiety should be looked for carefully in migraine patients.