The objective was to study the cross-sectional association between body mass index (BMI) and the prevalence of severe headaches or migraines in a national sample of US adults. We used data from 7601 men and women aged ≥ 20 years who participated in the National Health and Nutrition Examination Survey 1999–2002. The age-adjusted prevalence of severe headaches or migraines during the previous 3 months was 34.0, 18.9, 20.7 and 25.9% among participants with a BMI < 18.5, 18.5 to < 25, 25 to < 30 and ≥ 30 kg/m2, respectively. After adjusting for a variety of covariates in a logistic regression model, those with a BMI < 18.5 kg/m2[odds ratio (OR) 2.01; 95% confidence interval (CI) 1.34, 3.02] or ≥ 30 kg/m2 (OR 1.37; 95% CI 1.09, 1.72) had a significantly elevated OR for having a headache compared with participants with a BMI of 18.5–< 25 kg/m2. BMI is associated with the prevalence of severe headaches or migraines in a non-linear manner.