We review the evidence for a link between multiple sclerosis (MS) and two of the most common primary headache disorders: tension-type headache and migraine. We argue that the association between migraine and MS is biologically plausible and is confirmed by most studies. We discuss possible explanations for the association. First, we consider the possibility that the association is spurious. Next, we consider unidirectional causal models in which one of the conditions increases the risk of the other. A bidirectional model would suggest that each disease predisposes to the other. Alternatively, genetic or environmental risk factors shared by each condition may account for the association between them. We also address the question of whether coexisting migraine or tension-type headache in a patient with MS affects the symptom profile, clinical course, and radiographic characteristics of MS.