Headache is a chronic disease that occurs with varying frequency and results in varying levels of disability. To date, the majority of research and clinical focus has been on the role of biological factors in headache and headache-related disability. However, reliance on a purely biomedical model of headache does not account for all aspects of headache and associated disability. Using a biopsychosocial framework, the current manuscript expands the view of what factors influence headache by considering the role psychological (i.e., cognitive and affective) factors have in the development, course, and consequences of headache. The manuscript initially reviews evidence showing that neural circuits responsible for cognitive–affective phenomena are highly interconnected with the circuitry responsible for headache pain. The manuscript then reviews the influence cognitions (locus of control and self-efficacy) and negative affect (depression, anxiety, and anger) have on the development of headache attacks, perception of headache pain, adherence to prescribed treatment, headache treatment outcome, and headache-related disability. The manuscript concludes with a discussion of the clinical implications of considering psychological factors when treating headache.