Headache disorders and sleep problems are common conditions with a high prevalence in the general population, and impose a considerable socio-economic burden. They show a close association with headache disorders through various relationship. The prevalence of sleep problems is elevated in individuals with headache, especially for migraine. In most headache disorders, sleep problems are accompanied by the deterioration of clinical characteristics of headache disorders. The sharing brain structures and neurotransmitters involved in the pathogenesis of headache disorders and sleep disorders may be an explanation for the close relationship between two disorders. In this article, we briefly review the relationship of headache disorders with sleep disorders including insomnia, sleep-related breathing disorders, central disorders of hypersomnolence, circadian rhythm sleep-wake disorders, parasomnias, and sleep related movement disorders.