Sex and gender differences in humans are being increasingly recognized not only in experimental pain paradigms but also clinically. Women experience various chronic pain conditions such as headache more than men and evidence differences in pain threshold and pain tolerance experimentally. In addition to biological underpinnings, psychosocial factors such as gender and social role expectations, coping strategies, and affective variables likely contribute to observed sex- and gender-related differences in headache. The present narrative reviews and summarizes extant literature pertaining to these psychosocial factors. Gender and social role expectations and coping styles differ between men and women who experience headache and pain, in turn affecting differences in responding to pain. Epidemiologic findings that women have higher rates of headache-related disability and psychiatric comorbidity have not been replicated regularly among treatment-seeking headache samples. Awareness of these differences may stimulate further research and enhance therapeutic opportunities for headache patients.