Abstract Objective The Cogniphobia Scale for Headache Disorders (CS-HD) was developed to assess pain-related fear as a trigger for headache pain. The study objective is to examine the bivariate correlations between cogniphobia with measures of depression, anxiety, pain anxiety, and subjective cognition to better understand relationships between psychological factors that can impact cognitive performance. Method Participants were recruited using internet-based methods and an existing headache research database. Baseline questionnaires on mood, including anxiety (PROMIS anxiety), pain anxiety (PASS-20), depression (PROMIS depression) and cogniphobia (CS-HD), from a longitudinal observational study were analyzed. A 4-week daily measure of subjective cognition was included in the analysis (Alertness Behavior subscale of the Sickness Impact Profile). Pearson correlation coefficients were calculated to examine relationships between cogniphobia with depression, anxiety, pain anxiety, and subjective cognition. Results The sample consisted of 18 participants with episodic migraine (Male = 6, Female = 12; Hispanic = 4, Non-Hispanic = 14). Results revealed significant correlations between cogniphobia and both pain anxiety (r = 0.86, p < 0.001, 95% CI [0.656, 0.947]) and subjective cognition (r = 0.595, p = 0.009, 95% CI [0.178, 0.831]). Non-significant correlations were found between cogniphobia and both anxiety (r = 0.256, p = 0.305, 95% CI [−0.240, 0.646]) and depression (r = 0.418, p = 0.084 95% CI [−0.060,0.741]). Conclusion(s) Pain anxiety and subjective cognition are most closely related to cogniphobia. Although not statistically significant, results indicate that symptoms of depression may be more related to cogniphobia than purely anxious symptoms, however further research with larger sample sizes is needed.