Disordered sleep, poor sleep quality, and insufficient or excessive sleep duration are known triggers of primary and secondary headaches. Given this, it is plausible that improving sleep will subsequently reduce headache activity. We report a systematic review of the literature, examining studies utilising psychological sleep interventions for the treatment of migraine and tension-type headache. PubMed, EMBASE, CINAHL, PsycINFO, and Cochrane Central were searched, using terms pertaining to psychological sleep interventions and headaches. Meta-analysis was performed for two outcome measures; headache frequency, and headache intensity. 103 studies were retrieved, of which 55 were duplicates. After completing reviews, three studies were retained. An additional eligible study was published after the initial search, and was found via monthly update searches, resulting in a total of four included studies. The effects of psychological sleep interventions (and in one study, combined with drug therapy) significantly reduced headache frequency and headache intensity. Three studies improved various sleep outcomes such as duration, efficiency, and excessive sleepiness. Psychological sleep interventions improve headache frequency and sleep, however there is conflicting evidence for the effect on headache intensity between studies. Limitations include the small number of studies conducted to date. Despite this, the notable improvements in headaches and sleep achieved after psychological sleep interventions indicates further research on this promising topic is warranted.