Yes. I have the same problem. I get headaches and migraines from dry eyes. The pain is near the eyes and particularly around the driest eye. I think it is because dry eyes cause pressure near the eyes and give me headache.
I also have dry eyes, but I haven't had any headaches from my dry eyes. Maybe your migraines is caused by some other factors. I think you'd better go to see a doctor. He will give you a careful exam to find out the causes and treat your problem.