This study assesses the comorbidity of mental illness, sleep disorders, and migraine/headaches among employees in a large organization in the USA. The comorbidity of migraine/headaches and sleep disorders or mental illness has been well studied. However, simultaneous comorbidity of all three is less well known. Analyses were based on the Deseret Mutual Benefit Administrator employee database, derived from billing codes for employees and their families during the years 2017–2021. Statistical analyses were performed and adjusted for age, sex, marital status, dependent children, annual household income, and year. The claims rate for migraine is 2.2% and for headache is 0.95%. The claims rate for sleep disorder is 12.2%, with 34.6% having comorbid mental illness, primarily in the form of depression (18.4%), anxiety (18.0%), and ADHD (4.0%). The claims rate for mental illness is 18.4%, with comorbid sleep disorders 22.9%: 17.5% with sleep apnea, 6.5% with insomnia, and 2.2% with hypersomnia. Those with a sleep disorder are 130% times more likely to have migraine and 91% more likely to have headaches. Corresponding values for mental illness are 160% and 116%. Those with a sleep disorder only, mental illness only, or both (versus neither) are 133%, 162%, and 289% more likely to experience migraine, respectively. Corresponding values for headache are 92%, 118%, and 187%. Sleep and mental disorders positively associate with migraine and headache, more so when both are involved. The positive associations are stronger for migraine than headache.