In a study by Bruijn, et al. (2010), it was found that compared to healthy children, children with migraines:

• do not exhibit more withdrawn behavior
• do not have more thought problems
• do not have more social problems
• do not exhibit more delinquent or aggressive behavior 
• are not more frequently diagnosed with attention-deficit/hyperactivity disorder
• are not more frequently diagnosed with conduct disorder
• are not more frequently diagnosed with dysthymia or depression

It was also found that children with migraines have more somatic complaints and show more internalizing behaviors than children without migraines. However, the researchers felt those behaviors were a consequence having migraines - not a sign of psychopathology. 

There was some limited evidence that in a clinical setting, children with migraines are more frequently diagnosed with oppositional defiant disorder than children without migraines.  There could be a couple of reasons for this: