Primary headaches are among the most common pain disorders. They include migraines (prevalence 15%), tension headaches (up to 80%), and others, including trigeminal autonomic headaches (about 0.2%). Migraine, in particular, leads to significant impairment of personal life and high societal costs. Therefore, the need for effective and sustainable therapeutic procedures is high. This article provides an overview of psychological procedures in headache therapy and critically summarizes the empirical evidence for the effectiveness of interdisciplinary multimodal pain therapy (IMST) consisting of psychotherapy and pharmacotherapy. It can be shown that psychoeducation, relaxation procedures, cognitive behavioral therapy, and biofeedback are psychological procedures from which headache patients can benefit. In the synopsis of multimodal approaches in the treatment of headache, consistently greater effects can be observed when both pharmacological treatment and psychotherapeutic procedures are used. This added value should be regularly taken into account in the treatment of headache disorders. This requires close cooperation between headache specialists and psychotherapists who specialize in the treatment of pain.