The aim of this study was to explore the association between different types of headache (HA) and the clinical features of multiple sclerosis (MS). The relationship between HA and MS-specific therapies was also analysed. A total of 102 MS patients were recruited at the MS Centre of S. Andrea Hospital in Rome. According to International Headache Society criteria, the lifetime prevalence of primary HA was 61.8%. Migraine was observed more often in young relapsing-remitting MS patients, whilst tension-type HA was associated with older age, male gender and a secondary progressive course. Sixty-four patients had a history of ongoing or past interferon beta (IFNb) exposure. Of these, 17 subjects did not have a history of HA, while 24 complained of an increase in frequency of migraine attacks and 7 reported an IFNb-induced HA. Investigating and treating HA in MS patients starting IFNb therapy may improve MS-specific medication compliance.