Significant side effects or drug interactions can make pharmacological management of headache disorders very difficult. Non-conventional and non-pharmacological treatments are becoming increasingly used to overcome these issues. In particular, non-invasive neuromodulation, nutraceuticals, and behavioral approaches are well tolerated and indicated for specific patient categories such as adolescents and pregnant women. This paper aims to present the main approaches reported in the literature in the management of headache disorders. We therefore reviewed the available literature published between 2010 and 2020 and performed a narrative presentation for each of the three categories (non-invasive neuromodulation, nutraceuticals, and behavioral therapies). Regarding non-invasive neuromodulation, we selected transcranial magnetic stimulation, supraorbital nerve stimulation, transcranial direct current stimulation, non-invasive vagal nerve stimulation, and caloric vestibular stimulation. For nutraceuticals, we selected Feverfew, Butterbur, Riboflavin, Magnesium, and Coenzyme Q10. Finally, for behavioral approaches, we selected biofeedback, cognitive behavioral therapy, relaxation techniques, mindfulness-based therapy, and acceptance and commitment therapy. These approaches are increasingly seen as a valid treatment option in headache management, especially for patients with medication overuse or contraindications to drug treatment. However, further investigations are needed to consider the effectiveness of these approaches also with respect to the long-term effects.