Psychological stress is generally acknowledged to be a central contributor to primary headache. Stress results from any challenge or threat, either real or perceived, to normal functioning. The stress response is the body's activation of physiological systems, namely the hypothalamic-pituitary-adrenal axis, to protect and restore functioning. Chronic activation of the stress response can lead to wear and tear that eventually can predispose an individual to disease. There are multiple ways that stress and headache are closely related. Stress can (a) be a predisposing factor that contributes to headache disorder onset, (b) accelerate the progression of the headache disorder into a chronic condition, and (c) precipitate and exacerbate individual headache episodes. How stress impacts headache is not often understood. However, stress is assumed to affect primary headache by directly impacting pain production and modulation processes at both the peripheral and central levels. Stress can also independently worsen headache-related disability and quality of life. Finally, the headache experience itself can serve as a stressor that compromises an individual's health and well-being. With the prominent role that stress plays in headache, there are implications for the evaluation of stress and the use of stress reduction strategies at the various stages of headache disorder onset and progression. Future directions can help to develop a better empirical understanding of the pattern of the stress and headache connections and the mechanisms that explain the connections. Further research can also examine the interactive effects of stress and other factors that impact headache disorder onset, course, and adjustment.