There is a growing body of evidence supporting the efficacy of various complementary and alternative medicine approaches in the management of headache disorders. These treatment modalities include nutraceutical, physical and behavioral therapies. Nutraceutical options comprise vitamins and supplements (magnesium, riboflavin, coenzyme Q10, and alpha lipoic acid) and herbal preparations (feverfew, and butterbur). Although controversial, there are some reports demonstrating the benefit of recreational drugs such as marijuana, lysergic acid diethylamide and psilocybin in headache treatment. Behavioral treatments generally refer to cognitive behavioral therapy and biobehavioral training (biofeedback, relaxation training). Physical treatments in headache management are not as well defined but usually include acupuncture, oxygen therapy, transcutaneous electrical nerve stimulation, occlusal adjustment, cervical manipulation, physical therapy, massage, chiropractic therapy, and osteopathic manipulation. In this review, the available evidence for all these treatments will be discussed.