(1) Background: Headaches in health professionals have been studied over the years. This has become even more relevant during the COVID-19 pandemic, due to their link with the use of masks, being female or working in highly complex units. However, their association with different personality traits has not been studied in healthcare workers (HCWs). The aim of this study was to assess the prevalence and evolution of headaches throughout the pandemic in Intensive Care Unit (ICU) nurses and to analyze their association with sociodemographic, occupational and personality variables as well as with other symptoms. (2) Methods: This was an observational, descriptive, longitudinal, prospective study with two periods of data collection (at the end of the containment phase and six months thereafter). A non-probabilistic convenience sampling was performed (n = 131). (3) Results: A high percentage of ICU nurses reported headaches during the first (71%) or second (79.4%) time point; more than half of the sample (58.8%) reported headaches over time (chronic headache). Although a higher prevalence of headaches was observed in women at both assessment points, no significant gender-related relationships were observed for headaches maintained across the two time points. Regarding the symptoms and personality variables, positive relationships were found between headaches and anxiety (p = 0.005), insomnia (p = 0.030) and emotional exhaustion (p = 0.022), and a negative relationship was found between headaches and hardiness (p = 0.031). (4) Conclusions: Our study highlights the importance of assessing occupational, psychological and emotional aspects in order to decrease the prevalence of headaches and thus improve the quality of the work life of nurses in such demanding environments as the ICU.