Chronic daily headache (CDH), when defined as ≥ 15 headache days per month, affects 3–5% of the adult population. Major life changes are putative precipitating events for onset of chronic pain, including chronic headache. This study compared the occurrence of specific life events between CDH cases and episodic headache controls in a community sample. CDH cases (180+ headache days per year: n = 206) and episodic headache controls (2–104 headache days per year: n = 507) were identified from a randomly selected adult US population. Subjects were interviewed about the occurrence of certain major life changes or events (change of residence, employment status, marital status, related to their children, deaths of relatives or close friends, and ‘extremely stressful’ ongoing situations) occurring in a defined time period. Events that occurred during the same year or year before frequent headache onset in cases or in an equivalent time period in controls were considered to be antecedent events. Those that occurred after this time were considered subsequent events. Compared with episodic headache controls, CDH cases had more major life changes in the year before or same year as CDH onset. After adjusting for age, gender, headache type and year of event, the odds of CDH increased additionally with each antecedent event [odds ratio (OR) 1.20 (1.1, 1.3), P < 0.001], but not with subsequent events [OR 0.94 (0.8, 1.1), P < 0.4]. In secondary analyses, the association between antecedent events and CDH was significant only for the approximately half of CDH cases who were aged ≥ 40 years [OR 1.33 (1.2, 1.50) vs. OR 1.04 (0.9, 1.2), P < 0.05 for interaction by age]. These results suggest that major life changes are associated with the onset of chronic daily headache, particularly in middle age.