Migraine and tension-type headache are among the most frequent diseases of the world. As pharmacological treatment often is associated with distinct side effects, there is an increasing need for non-pharmacological treatment options. However, there has been a striking lack of evidence with regards to the efficacy of the huge variety of non-pharmacological interventions. In this review, we present the available evidence for the most common non-pharmacological treatment options with focus on the national clinical guideline for non-pharmacological treatment of headache disorders published in 2021.