The focus of this review is on the efficacy of antidepressants as preventive treatments for migraine and chronic tension-type headache (TTH). Pharmacologic prophylaxis may be indicated for patients with frequent headaches, who respond insufficiently to acute therapies, or for whom medication overuse is a concern. The well-documented efficacy of the tricyclic antidepressant amitriptyline, both for migraine and chronic TTH, has been followed by widespread use of other antidepressants for headache prophylaxis. Although antidepressants in general share comparable efficacy for the treatment of depressive disorders, their efficacy as headache preventives varies widely. Evidence supporting use of the selective serotonin reuptake inhibitors as headache preventives is poor; their use should be reserved for treating comorbid depression in a patient who also has a headache disorder. Small randomized trials of venlafaxine indicate preliminary efficacy both for migraine and tension-type headache. Evidence for other antidepressants is lacking. Although antidepressants are often prescribed to headache patients under the assumption that the prescribed agent also will be effective in reducing symptoms of comorbid depression, the majority of studies have failed to find a strong relationship between depression symptoms and headache improvement. Suggestions for future research are discussed.