In *some* cases, there might be something that triggers migraine. Like caffeine, or a walk in the hot sun, or staying hungry for long and so on - it varies from person to person. Look for a pattern, make notes whenever possible. If you can figure out the culprit, you may be able to avoid it.
Secondly, if you are taking (some kinds of) medication, they need to be consumed when you feel the migraine coming on - if you delay it, the medicines may not have much effect.
If you think the anxiety medicine isn't helping, maybe it is time to see someone else...