Multiple sclerosis is a chronic and progressive neurological disease, with an important socio-economic burden. Over time, an increased incidence of headaches like migraines and tension headaches has been observed among these patients. Headaches have not been considered as multiple sclerosis-related symptoms, even representing a red flag for multiple sclerosis diagnosis. It is uncertain whether the headache–multiple sclerosis association could be explained by the presence of common triggers or a common physiopathological mechanism (involvement of tertiary B-cell follicles). An important differential diagnosis is between multiple sclerosis attacks and migraines with aura, which can also be associated with neurological deficits. Another important aspect is the occurrence or exacerbation of the cephalalgic syndrome after the initiation of therapy for multiple sclerosis (DMTs), or the improvement of headache after the initiation of certain DMT drugs. In addition to headaches, individuals diagnosed with multiple sclerosis often report experiencing diverse pain syndromes, contributing to an additional decline in their overall quality of life. These syndromes are frequently neglected, the focus being on slowing down the progression of neurological deficits. This review aims to evaluate the characteristics of multiple-sclerosis-related headaches (frequency, possible correlation with attacks, and disease-modifying therapies) and the key distinctions in imaging characteristics between demyelinating lesions in multiple sclerosis and those observed in cases of primary headaches.