Although exogenous melatonin supplementation has been suggested to be effective for episodic migraine prophylaxis, there is no conclusive evidence comparing the efficacy of exogenous melatonin supplementation to the other FDA‐approved pharmacotherapy for episodic migraine prophylaxis. The aim of the current network meta‐analysis (NMA) was to compare the efficacy of exogenous melatonin supplementation in patients with episodic migraine. The randomized placebo‐controlled trials or randomized controlled trials (RCTs) incorporating a placebo in the study designs were included in our analyses. All of the NMA procedures were conducted under the frequentist model. The primary outcome was changes in frequency of migraine days and response rate after migraine prophylaxis with melatonin supplementation or pharmacological interventions. We included 25 RCTs in total with 4499 patients (mean age = 36.0 years, mean female proportion = 78.9%). The NMA demonstrated that migraine prophylaxis with oral melatonin 3 mg/d (immediate‐release) at bedtime was associated with the greatest improvement in migraine frequency mean difference = −1.71 days, 95% confidence interval (CI): −3.27 to −0.14 days compared to placebo and the second highest response rate (odds ratio = 4.19, 95% CI = 1.46 to 12.00 compared to placebo). Furthermore, oral melatonin 3 mg (immediate‐release) at bedtime was the most preferred pharmacological intervention among all of the investigated interventions when improvements in migraine frequency, response rate, dropout rate, and rates of any adverse events were taken into account. This pilot NMA suggests the potential prophylactic role of exogenous melatonin supplementation in patients with episodic migraine.