As clinic-based studies show an association between headache and both high and low levels of haemoglobin, we analysed this relationship in a population-based cross-sectional study (the HUNT Study). A total of 2385 women aged 20–55 years responded to a headache questionnaire and gave blood samples for measuring haemoglobin and ferritin. In the multivariate analyses, adjusting for age and education, there was a linear trend of decreasing prevalence of headache (P = 0.02) and migraine (P = 0.01) with decreasing haemoglobin. In particular, migraine was less likely among women with low haemoglobin (values < 11.5 g/dl) (odds ratio 0.4, confidence interval 0.2, 0.9). There was no correlation between headache prevalence and ferritin. The present findings may be relevant for the headache reported in polycythaemia and chronic altitude sickness.