General catastrophic thinking styles about uncomfortable bodily sensations may predispose the development of common health pathologies, such as persistent headache. The purpose of this research was to explore the relationships between the Pain Catastrophizing (PC) Scale and Anxiety Sensitivity (AS) Index, which measure tendencies to catastrophize pain- and anxiety-related somatic sensations, respectively. A non-clinical sample completed the PC Scale, AS Index, and health outcome questionnaires regarding headache (n = 1018). Results revealed that: (i) AS and PC are empirically separate constructs; (ii) the overlap between PC and AS lies within the domain of fearing physical catastrophe; (iii) AS independently predicts weekly headache, headache pain intensity, and the number of a wide range of physical symptoms associated with headache; and (iv) PC independently predicts the presence of weekly headache. Limitations and implications of this research, as well as recommendations for future research directions are discussed.