This study examined if the presence of one or more psychiatric disorders influences headache treatment outcomes in patients in headache specialty treatment centers. Using a naturalistic, longitudinal design, 223 patients receiving preventive therapy for headache disorders completed 30-day daily diaries that assessed headache days/month and severity at acute therapy baseline and 6-month evaluation and also provided data on headache disability and quality of life at acute therapy baseline, preventive therapy initiation, preventive therapy adjustment, and 6-month evaluation visits. Psychiatric diagnoses were determined using the Primary Care Evaluation for Mental Disorders (PRIME MDs). Of the 223 patients, 34% (n = 76) had no psychiatric disorder, 21% (n = 46) were diagnosed with Depression-Only; 13% (n = 29) were diagnosed with Anxiety-Only; and 32% (n = 72) were diagnosed with Depression-and-Anxiety. Prior to initiating new preventive therapy, patients with one or more psychiatric disorders reported more frequent and disabling headaches and poorer life quality compared to patients with no psychiatric disorders. Rates of improvement in headache days/month, disability, and quality of life were significant and comparable across the four groups. Contrary to clinical wisdom, patients with psychiatric disorders respond very favorably to contemporary headache treatments administered in headache specialty treatment centers.