A positive correlation between the frequency of headache and the frequency of stressful events was demonstrated in a sample of 114 headache sufferers. The strength of this relationship was shown to be moderated by the level of self-efficacy, defined as the individual's perceived capacity to exercise self-control over their cognitive, behavioral, and affective responses to stressful events. The relationship between stressful events and headache was strongest for subjects low in self-efficacy and became progressively weaker as self-efficacy increased. It was concluded that self-efficacy may be an important psychological resource buffering the impact of stress on the frequency of headache. Theoretical implications and indications for further research are discussed.