A link between headache and depression has been noted in the literature for over 30 years. To date, however, studies investigating this relationship have ignored the potential impact transdiagnostic symptoms (i.e., symptoms indicative of both depression and headache) may have on correlations between measures of depression and measures of headache activity. The present study examined this issue using the Beck Depression Inventory in a large sample of recurrent headache sufferers who had presented for treatment at one of two university-based clinics. Factor analysis identified two distinct, albeit correlated, factors reflecting cognitive/affective symptoms and somatic symptoms. Correlational analyses found consistent relationships between the somatic symptom factor and measures of headache activity, but not between the cognitive/affective factor and headache activity. We suggest that the BDI items comprising the somatic factor identified in this study may not be appropriate indicators of depression in recurrent headache samples.