Background: Migraine is the fourth most common cause of disability in women and the eighth most common cause in men. Central sensitization phenomena predispose to chronic migraine and are generally more pronounced in women. Objective: The aim of this retrospective observational study was to look for sex differences in a population of migraine subjects attending a tertiary headache center, focusing on symptoms of central sensitization such as allodynia and pericranial tenderness. Methods: This study is based on data collected at a tertiary headache center between January 1, 2018, and December 31, 2022. The clinical interview included the main features of migraine, allodynia, a disability questionnaire, the pericranial tenderness score, and anxiety and depression scales. Results: We selected a total of 1,087 migraine subjects (233 men). Osmophobia predominated in women, as did nausea. Disability scores, headache intensity, allodynia, anxiety, and depression predominated in women, without menopausal age playing a role. The frequency of symptomatic medication use was similar in both sexes. Allodynia score was the largest discriminating factor between women and men. Conclusions: Women with migraine are more likely than men to report acute allodynia, nausea, and osmophobia and are also more likely to be anxious, depressed, and disabled. These features appear to be independent of fertile age and are probably related to sex-specific genetic characteristics. These symptoms represent a tendency toward sensory hypersensitivity and central sensitization that should be carefully assessed in both women and men with migraine with a view to possibly predicting chronic development.