Background: Multiple sclerosis (MS) is a chronic inflammatory demyelinating disorder of the central nervous system characterized by autoimmune-mediated damage to oligodendrocytes and subsequent myelin destruction. Clinical implications: Clinically, the disease presents with many symptoms, often evolving over time. The insidious onset of MS often manifests with non-specific symptoms (prodromal phase), which may precede a clinical diagnosis by several years. Among them, headache is a prominent early indicator, affecting a significant number of MS patients (50–60%). Results: Headache manifests as migraine or tension-type headache with a clear female predilection (female-male ratio 2-3:1). Additionally, some disease-modifying therapies in MS can also induce headache. For instance, teriflunomide, interferons, ponesimod, alemtuzumab and cladribine are associated with an increased incidence of headache. Conclusions: The present review analyzed the literature data on the relationship between headache and MS to provide clinicians with valuable insights for optimized patient management and the therapeutic decision-making process.