Although most individuals with recurrent headache disorders in the general population do not experience severe psychopathology, population-based studies and clinical investigations find high rates of comorbidity between headache and mood and anxiety disorders. When present, psychiatric disorders may complicate headache treatment and portend a poorer treatment response. The negative prognosis associated with psychiatric comorbidity emphasizes the importance of the identification of psychopathology among those with headache beginning at an early age, and suggests that the treatment of psychiatric comorbidity is warranted to improve the outcome of headache management. In this article we describe the mood and anxiety disorders most commonly associated with migraine, tension-type headache, and chronic daily headache. We provide recommendations for the assessment of comorbid mood and anxiety disorders as well as a brief overview of treatment options. Last, we discuss the clinical implications of mood and anxiety disorders on the treatment and outcome of headache.