Aim To evaluate aerobic exercise in migraine and co-existing tension-type headache and neck pain. Methods Consecutively recruited persons with migraine and co-existing tension-type headache and neck pain were randomized into an exercise group or control group. Aerobic exercise consisted of bike/cross-trainer/brisk walking for 45 minutes, three times/week. Controls continued usual daily activities. Pain frequency, intensity, and duration; physical fitness, level of physical activity, well-being and ability to engage in daily activities were assessed at baseline, after treatment and at follow-up. Results Fifty-two persons completed the study. Significant between-group improvements for the exercise group were found for physical fitness, level of physical activity, migraine burden and the ability to engage in physical activity because of reduced impact of tension-type headache and neck pain. Within the exercise group, significant reduction was found for migraine frequency, pain intensity and duration, neck pain intensity, and burden of migraine; an increase in physical fitness and well-being. Conclusions Exercise significantly reduced the burden of migraine and the ability to engage in physical activity because of reduced impact of tension-type headache and neck pain. Exercise also reduced migraine frequency, pain intensity and duration, although this was not significant compared to controls. These results emphasize the importance of regular aerobic exercise for reduction of migraine burden.