Headache during pregnancy is frequent and challenging. A secondary headache is diagnosed in one third of women, and most causes are vascular and infectious disorders. Anamnestic and clinical features must be investigated, and brain imaging is often required. Primary headaches are commonly modified during pregnancy. Migraine is mainly improved in this context, especially migraine without aura. Particular cautions about treatment must be applied, and non-pharmacological measures must be preferred. Tension-type headache and cluster headache seem to be less hormone-dependent.