This study aimed to characterize self-reported headaches because of problems with the teeth, mouth, jaws, or dentures (HATMJD) in chronic patients with temporomandibular disorders (TMDs) in order to compare their results with those of TMD patients without such headaches and to investigate the associations of HATMJD with depression, anxiety, physical symptoms, oral behaviors, and sleep quality. We conducted a case–control study on consecutive chronic TMD patients referred to the University Medical Center of Ljubljana, Slovenia. A self-reported HATMJD was extracted from item #12 in the 49-item version of the Oral Health Impact Profile questionnaire. Axis II instruments of the Diagnostic Criteria for TMD (i.e., for screening of depression, anxiety, specific comorbid functional disorders, and oral behaviors) and the Pittsburgh Sleep Quality Index were used in this study. In total, 177 TMD patients (77.4% women; mean age: 36.3 years) participated in this study; 109 (61.6%) patients were classified as TMD patients with HATMJD. TMD patients with at least mild depressive and anxiety symptoms, with at least low somatic symptom severity, and a high number of parafunctional behaviors had more HATMJD. Parafunctional behavior and sleep quality were the most prominent predictive factors of the occurrence of HATMJD. TMD patients with HATMJD have more psychosocial dysfunction, a higher frequency of oral behaviors, and poorer sleep quality than TMD patients without such headaches.