Changes in headache characteristics in obstructive sleep apnea (OSA) patients following oral appliance treatment was investigated for the first time. Thirteen OSA patients with headaches treated with a mandibular advancement device were investigated. Level I polysomnography and Migraine Disability Assessment Questionnaire were completed before and after treatment. Various headache characteristics and concomitant conditions were analyzed. The patient was considered a headache responder when ≥ 30% reduction in headache frequency following treatment. Differences in headache and polysomnographic parameters were compared between headache responder groups. Eight patients (62%) were headache responders. Eleven patients (85%) before and 7 (54%) after treatment reported morning headaches. Significantly more patients had bilateral headache in the responder group before treatment (P = 0.035). The severest headache intensity (P = 0.018) at baseline showed a significant decrease in the headache responder group after treatment. The time spent in N2 (r = − 0.663, P = 0.014), REM sleep (r = 0.704, P = 0.007) and mean oxygen saturation (r = 0.566, P = 0.044) showed a significant correlation with post-treatment average headache intensity. Pre-treatment lower PLM index (r = − 0.632, P = 0.027) and higher mean oxygen saturation levels (r = 0.592, P = 0.043) were significantly correlated with higher post-treatment severest headache intensity. Treatment with an oral appliance is beneficial for many OSA patients with headaches. It should be considered as an alternative treatment in headache patients with mild to moderate OSA.