Headache is being viewed more commonly in a biopsychosocial framework, which introduces the possible utilisation of psychological treatment options, such as cognitive behavioural therapy and relaxation. No such treatments have been trialled in the UK. We conducted a randomised controlled pilot trial, comparing a brief guided self-help CBT and relaxation treatment with standard medical care (SMC), in a UK NHS setting. Participants were recruited from specialist headache clinics across London. Participants were randomised to receive either treatment or standard medical care. Our objective was to provide design information necessary for a future definitive trial of the SHE treatment, including, recruitment/retention rates, acceptability of randomisation, treatment fidelity and estimations of mean and variances of outcome measures. From the initial 275 patients identified, 73 were randomised. There was no difference in drop-out rates between SMC and treatment groups. Of the 36 participants randomised to receive treatment, 72 % attended all sessions. Findings show that a future definitive trial of the SHE treatment is feasible, with small modifications of protocol, within a UK NHS context.