Chronic Migraine (CM) is a disabling neurologic condition with a severe impact on functioning and quality of life. Successful therapeutic management of patients with CM is complex, and differences in therapeutic response could be attributable to genetically determined factors, sensitivity to pharmacological treatment, psychosocial and relational factors affecting the patient’s compliance and approach on the therapeutic treatment. The aim of this prospective observational study was to explore self-efficacy, coping strategies, psychological distress and headache-related disability in a cohort of 40 patients with CM (mean age: 46.73; standard deviation 13.75) treated with OnabotulinumtoxinA and the relationship between these clinical and psychological aspects and acute medication consumption during OnabotulinumtoxinA prophylactic treatment. Patients presented an overall significant reduction in the Headache Index (HI) (p < 0.001), HI with severe intensity (p = 0.009), and total analgesic consumption (p = 0.003) after the prophylactic treatment. These results are in line with the literature. Despite this, higher nonsteroidal anti-inflammatory drugs consumption was associated with higher psychological distress, higher HI with severe and moderate intensity, and worse quality of life. Conversely, triptans consumption was correlated with HI of mild intensity, and problem-focused coping strategies. To conclude, the psychological profile, and in particular, the psychological distress and specific coping strategies might influence the self-management of acute medication.