Screening of headache patients for psychiatric disorders is needed, because of the well-known high rates of comorbidity with depression and anxiety. Screening for both depression and anxiety is highly advisable in order to identify subjects who need psychiatric consultation and therapy. Screening tools for depression and anxiety range from informal questions to self-report instruments to structured interviews and the choice is up to the clinician and the setting of the clinical evaluation. Data on psychiatric disorders and medication overuse are till now not consistent. The treatment of mood and anxiety disorders in headache patients needs to take into account the possible drug interactions with headache therapies. The collaboration between neurologists and consultation-liaison psychiatrists helps the identification of headache patients who need a psychiatric therapeutic program and follow-up.