The aim of this study is to compare the psychopathology and the quality of life of chronic daily headache patients between those with migraine headache and those with tension-type headache. We enrolled 106 adults with chronic daily headache (CDH) who consulted for the first time in specialised centres. The patients were classified according to the IHS 2004 criteria and the propositions of the Headache Classification Committee (2006) with a computed algorithm: 8 had chronic migraine (without medication overuse), 18 had chronic tension-type headache (without medication overuse), 80 had medication overuse headache and among them, 43 fulfilled the criteria for the sub-group of migraine (m) MOH, and 37 the subgroup for tension-type (tt) MOH. We tested five variables: MADRS global score, HAMA psychic and somatic sub-scales, SF-36 psychic, and somatic summary components. We compared patients with migraine symptoms (CM and mMOH) to those with tension-type symptoms (CTTH and ttMOH) and neutralised pain intensity with an ANCOVA which is a priori higher in the migraine group. We failed to find any difference between migraine and tension-type groups in the MADRS global score, the HAMA psychological sub-score and the SF36 physical component summary. The HAMA somatic anxiety subscale was higher in the migraine group than in the tension-type group (F(1,103) = 10.10, p = 0.001). The SF36 mental component summary was significantly worse in the migraine as compared with the tension-type subgroup (F(1,103) = 5.758, p = 0.018). In the four CDH subgroups, all the SF36 dimension scores except one (Physical Functioning) showed a more than 20 point difference from those seen in the adjusted historical controls. Furthermore, two sub-scores were significantly more affected in the migraine group as compared to the tension-type group, the physical health bodily pain (F(1,103) = 4.51, p = 0.036) and the mental health (F(1,103) = 8.17, p = 0.005). Considering that the statistic procedure neutralises the pain intensity factor, our data suggest a particular vulnerability to somatic symptoms and a special predisposition to develop negative pain affect in migraine patients in comparison to tension-type patients.