The present study compared the responses of women with headache (chronic tension-type, n = 27; migraine, n = 27) and controls (n = 27) to an acute pain laboratory task, the cold pressor test. Participants' pain perception (i.e., threshold and tolerance) and their fear/anxiety associated with pain were assessed during days 1, 2, or 3 of menses. Analyses pertaining to participants' responses to the cold pressor test (ie, pain threshold and tolerance) failed to show statistically significant group differences, even when covarying pain-related anxiety/fear. Analyses did, however, reveal significant group differences between migraineurs and controls in cognitive anxiety. Correlational analyses also revealed that cognitive anxiety, somatic anxiety, fear, and escape/avoidance were all significantly correlated with pain tolerance in the group with chronic tension-type headache, but not in the other two groups. Subsequent multiple regressions, however, showed that the relationship between anxiety and pain tolerance was primarily a function of somatic anxiety. These results suggest that headache frequency plays a role in mediating the relationship between fear of pain and pain tolerance and that the models by Lethem and colleagues and McCracken may be relevant for understanding tension headache sufferers' responses to head pain.