Epidemiological studies have reported a comorbid relationship between headache and thyroid traits; however, little is known about the shared genetics and causality that contributes to this association. We investigated the genetic overlap and associations between headache and thyroid function traits using genome-wide association study (GWAS) data. We found a significant genetic correlation (rg) with headache and hypothyroidism (rg = 0.09, p = 2.00 × 10−4), free thyroxine (fT4) (rg = 0.08, p = 5.50 × 10−3), and hyperthyroidism (rg = −0.14, p = 1.80 × 10−3), a near significant genetic correlation with secondary hypothyroidism (rg = 0.20, p = 5.24 × 10−2), but not with thyroid stimulating hormone (TSH). Pairwise-GWAS analysis revealed six, 14, four and five shared (pleiotropic) loci with headache and hypothyroidism, hyperthyroidism, secondary hypothyroidism, and fT4, respectively. Cross-trait GWAS meta-analysis identified novel genome-wide significant loci for headache: five with hypothyroidism, three with secondary hypothyroidism, 12 with TSH, and nine with fT4. Of the genes at these loci, six (FAF1, TMX2-CTNND1, AARSD1, PLCD3, ZNF652, and C20orf203; headache-TSH) and six (HMGB1P45, RPL30P1, ZNF462, TMX2-CTNND1, ITPK1, SECISBP2L; headache-fT4) were significant in our gene-based analysis (pFisher’s combined p-value < 2.09 × 10−6). Our causal analysis suggested a positive causal relationship between headache and secondary hypothyroidism (p = 3.64 × 10−4). The results also suggest a positive causal relationship between hypothyroidism and headache (p = 2.45 × 10−3) and a negative causal relationship between hyperthyroidism and headache (p = 1.16 × 10−13). These findings suggest a strong evidence base for a genetic correlation and complex causal relationships between headache and thyroid traits.