The association between psychiatric disorders and headache is widely recognized, even though the explanation of likely mechanisms is yet speculative. The most common comorbid associated disorders are depressive (DD), anxiety (AD), and bipolar disorders (BD). Treatments options comprise pharmacologic therapies, psychologic therapies, other nonpharmacologic therapies, and combinations of them. To the best of our knowledge, no evidence-based guidelines exist regarding pharmacotherapy for DD, BD, and/or AD in patients with headache. When pharmacologic therapies are the choice for a psychiatric disorder comorbid with headache, an accurate psychiatric history is needed. Prescriptions of pharmacologic therapies for DD, BD, and AD need to take into account all the other therapies or psychoactive substances used by the subjects. The therapies for subjects with DD, AD, and BD can be very challenging and a strict collaboration among neurologists and psychiatrists is highly advisable.