Multiple sclerosis (MS) is a chronic inflammatory disease, causing neuronal demyelination and axonal damage in the central nervous system. Symptoms of MS vary widely because of different grades of sensory, motor, and cognitive dysfunctions. Although headache as the initial symptom of MS is rare, it is a common comorbidity that affects most patients. However, it is unclear that the headache manifestation in newly diagnosed people with MS should be considered as an MS attack or merely a comorbid condition. We report the case of a 31-year-old woman with newly diagnosed MS who presented with exacerbation of headache episodes without any abnormal neurological exam findings. The headaches did not respond to nonsteroidal anti-inflammatory drugs and triptans. After administration of methylprednisolone, the headaches were significantly improved, and during 3 months of follow-up receiving glatiramer acetate, no episode of headache has occurred. This case demonstrates the possible relationship between migraine and MS in newly diagnosed patients. New-onset headaches, a change in the pattern of previous episodes, and inadequate clinical drug response to headache treatment should all be taken seriously and warrant further investigation. Thereby, early diagnosis and proper treatment for patients with MS could improve their quality of life.