Background: The global active prevalence of migraines is approximately 14.7%. Oxygen therapy may reduce the use of non-steroidal anti-inflammatory drugs (NSAIDs) which often have various negative side effects. The purpose of this systematic review is to analyze the literature on the efficacy of high flow oxygen for the management of headache disorders, compared to placebo treatment. Methods: Studies were identified by PubMed, Web of Science and Scopus database from 1980 to the 30 October 2020. The search included the following terms: “oxygen therapy” and “headache” and “migraine”. Studies were included if high flow oxygen was used in the treatment of headache disorders. All selected studies were qualitatively analyzed. Results: Our literature search identified 71 studies, of which 65 were discarded and 6 were included in the meta-analysis. The random effect model did not show a pooled significant resolution of headache disorders (OR 2.08 (95% CI 0.92–4.70), p < 0.0001) in the oxygen therapy group compared to the placebo group. Conclusion: In our systematic review of six studies, there were no significant differences between high flow oxygen and placebo treatment groups.