The comorbidity of headache and psychiatric disorders is a well-recognized clinical phenomenon warranting further systematic research. Affective disorders occur with at least three-fold greater frequency among migraineurs than among the general population, and the prevalence increases in clinical populations, especially with chronic daily headache. When present, psychiatric comorbidity complicates headache management and portends a poorer prognosis for headache treatment. However, the relationship between headache and psychopathology has historically been misunderstood, and measures of psychopathology have not always met the standard of formal Diagnostic and Statistical Manual of Mental Disorders, 4th ed. (DSM-IV) criteria. In some cases, headache has been inappropriately attributed to psychological or psychiatric features, based on anecdotal observations. The challenge for future studies is to employ research methods and designs that accurately identify and classify the subset of headache patients with psychiatric disorders, evaluate their impact on headache symptoms and treatment, and identify optimal behavioral and pharmacologic treatment strategies. This article offers methodological considerations and recommendations for future research including: (i) ascribing dual-International Classification of Headache Disorders, 2nd ed. (ICHD-2) headache and DSM-IV psychiatric diagnoses according to reliable and valid diagnostic criteria, (ii) differentiating subclinical levels of depression and anxiety from major psychiatric disorders, (iii) encouraging validation studies of the recently published ICHD-2 diagnoses for “headache attributed to psychiatric disorder,” (iv) expanding epidemiological research to address the range of DSM-IV Axis I and II psychiatric diagnoses among various headache populations, (v) identifying relevant psychiatric and behavioral mediator/moderator variables, and (vi) developing empirically based screening and treatment algorithms.