Introduction: Headache is one of the most frequent neurologic manifestations in COVID-19. We aimed to analyze which symptoms and laboratory abnormalities were associated with the presence of headache and to evaluate if patients with headache had a higher adjusted in-hospital risk of mortality. Methods: Retrospective cohort study. We included all consecutive patients admitted to the Hospital with confirmed SARS-CoV-2 infection between March 8th and April 11th, 2020. We collected demographic data, clinical variables and laboratory abnormalities. We used multivariate regression analysis. Results: During the study period, 576 patients were included, aged 67.2 (SD: 14.7), and 250/576 (43.3%) being female. Presence of headache was described by 137 (23.7%) patients. The all-cause in-hospital mortality rate was 127/576 (20.0%). In the multivariate analysis, patients with headache had a lower risk of mortality (OR: 0.39, 95% CI: 0.17-0.88, p = 0.007). After adjusting for multiple comparisons in a multivariate analysis, variables that were independently associated with a higher odds of having headache in COVID-19 patients were anosmia, myalgia, female sex and fever; variables that were associated with a lower odds of having headache were younger age, lower score on modified Rankin scale, and, regarding laboratory variables on admission, increased C-reactive protein, abnormal platelet values, lymphopenia and increased D-dimer. Conclusion: Headache is a frequent symptom in COVID-19 patients and its presence is an independent predictor of lower risk of mortality in COVID-19 hospitalized patients.