Headache is the clinical syndrome most commonly observed by neurologists in daily practice. Pharmacological and non-pharmacological treatments are commonly used for the management of headaches; however, the clinical reasoning behind these interventions is not properly applied. We conducted a narrative literature review using as data sources for academic PubMed, MEDLINE, EMBASE, AMED, CINAHL, EBSCO, PEDro, Cochrane Database of Systematic Reviews, Cochrane Collaboration Trials Register, and SCOPUS. This narrative literature review mainly considered systematic reviews, meta-analyses, randomised clinical trials, and expert opinions published after the year 2000 discussing clinical reasoning for application of non-pharmacological interventions in individuals with tension-type, migraine, and cervicogenic headaches. After the data extraction, we organized the literature thematically as follows: (1) mapping of theoretical aspects of non-pharmacological interventions; (2) summarizing most updated literature about effectiveness of non-pharmacological interventions grouped by targeted tissue and headache; (3) identifying research gaps in the existing literature and proposing hypotheses for better understanding of current clinical reasoning. We found that there are many non-pharmacological treatment strategies used for headaches, including beyond the tissue-based impairment treatments (bottom-up) and strategies targeting the central nervous system (top down). Bottom-up strategies include joint-biased, soft-tissue biased, or needling interventions, whereas top-down strategies include exercise and cognitive interventions. Evidence shows that the effectiveness of these interventions depends on the application of proper clinical reasoning, since not all strategies are effective for all headaches. For instance, evidence of non-pharmacological interventions is more controversial for migraines than for tension-type or cervicogenic headaches, since migraine pathogenesis involves activation of sub-cortical structures and the trigemino- vascular system, whereas pathogenesis of tension-type or cervicogenic headaches is most associated to musculoskeletal impairments of the cervical spine. We conclude that current literature suggests that not all non-pharmacological interventions are effective for all headaches, and that multimodal, not isolated, approaches seem to be more effective for patients with headaches. Most published studies have reported small clinical effects in the short term. This narrative literature review provides some hypotheses for discrepancies in the available literature and future research. Clinical reasoning should be applied to better understand the effects of non-pharmacological interventions.