Most cluster headache patients respond to oxygen therapy, but approximately 20% do not. The aim of the present study was to assess which factors differ between cluster headache patients who respond to oxygen therapy and those who do not. We included patients from the headache clinic of Atrium Medical Centre Heerlen (n = 53) and patients who responded to a cluster headache web-site (n = 62). Participants completed a questionnaire with questions on cluster headache and factors that might be of significance with respect to the response to oxygen. Non-responders had less often smoked in the past (p = 0.014), had longer cluster headache attacks (p = 0.049), and more often reported interictal headache (p = 0.02) than responders. Logistic regression analysis showed these variables to be independent risk factors for not responding to oxygen and a clinical prediction model is provided. The area under the receiver operating characteristic curve was 0.75. We conclude that cluster headache patients who smoked in the past, had shorter attacks and were pain-free interictally respond best to oxygen inhalation. The results did not provide clues for the mechanism of action of oxygen therapy.