Headaches represent a prevalent and burdensome health condition, affecting individuals of all ages worldwide. While dietary factors have been implicated in headache pathophysiology, the association between dairy consumption and headaches remains controversial and inadequately understood. This comprehensive review systematically examines the existing literature to elucidate the relationship between dairy intake and headaches, addressing methodological challenges, potential biases, and gaps in the current knowledge. A thorough search of electronic databases identified relevant observational studies, clinical trials, and mechanistic investigations exploring the impact of dairy consumption on headache incidence, frequency, severity, and duration. Methodological considerations, including study design, measurement of exposure and outcome variables, confounding factors, and sources of bias, were critically evaluated to assess the strength of evidence and validity of findings. Despite heterogeneity across studies, emerging evidence suggests a complex and multifaceted relationship between dairy intake and headaches, influenced by individual characteristics, dietary patterns, headache subtype, and study context. While some studies report a positive association between dairy consumption and headaches, others indicate no significant effect or potential therapeutic benefits of dairy restriction. Mechanistic insights suggest plausible biological mechanisms, including neuroinflammatory pathways, neurotransmitter modulation, vascular effects, and gut-brain interactions, which may mediate the observed associations. Future research directions encompass longitudinal studies, mechanistic investigations, stratified analyses, randomized controlled trials, and exploration of the gut microbiota to further elucidate the underlying mechanisms and inform evidence-based dietary recommendations for headache management. This integrative review underscores the importance of interdisciplinary collaboration and personalized approaches to address the complex interplay between diet, headaches, and overall health.