Psychiatric comorbidity, especially depression and anxiety, has been well documented in patients with primary headache disorders. The presence of psychiatric comorbidity in headache patients is associated with decreased quality-of-life, poorer prognosis, chronification of disease, poorer response to treatment, and increased medical costs. Despite the prevalence and impact, screening for psychiatric disorders in headache patients is not systematically performed, either clinically or in research studies, and there are no guidelines to suggest which patients should be screened or in what manner. We review a variety of screening methods and instruments, focusing primarily on self-report measures and those available in the public domain. Informal verbal screening may be sufficient in a primary care setting, but should include screening for both anxiety and depression. Explicit screening for anxiety is important, as anxiety may have a more significant impact on headache than does depression and may occur in the absence of clinical depression. Formal screening with instruments that can identify a variety of psychiatric disorders is appropriate for patients with daily headache syndromes, patients who are refractory to usual care, and patients referred for specialty evaluation. Limitations of screening instruments include the influence of transdiagnostic symptoms and the need for confirmatory diagnostic interview. The following instruments appear most suitable for use in headache patients: for depression, the Patient Health Questionnaire Depression Module, the Beck Depression Inventory-II, or the Beck Depression Inventory-Primary Care; for anxiety, the Beck Anxiety Inventory and the Generalized Anxiety Disorder 7-item Scale; and for multidimensional psychiatric screening, the Patient Health Questionnaire or Primary Care Evaluation of Mental Disorders.