Headache and visceral pain are common clinical painful conditions, which often co-exist in the same patients. Numbers relative to their co-occurrence suggest possible common pathophysiological mechanisms. The aim of the present narrative review is to describe the most frequent headache and visceral pain associations and to discuss the possible underlying mechanisms of the associations and their diagnostic and therapeutic implications based on the most recent evidence from the international literature. The conditions addressed are as follows: visceral pain from the cardiovascular, gastrointestinal, and urogenital areas and primary headache conditions such as migraine and tension-type headache. The most frequent comorbidities involve the following: cardiac ischemic pain and migraine (possible shared mechanism of endothelial dysfunction, oxidative stress, and genetic and hormonal factors), functional gastrointestinal disorders, particularly IBS and both migraine and tension-type headache, primary or secondary dysmenorrhea and migraine, and painful bladder syndrome and headache (possible shared mechanisms of peripheral and central sensitization processes). The data also show that the various visceral pain-headache associations are characterized by more than a simple sum of symptoms from each condition but often involve complex interactions with the frequent enhancement of symptoms from both, which is crucial for diagnostic and treatment purposes.