This systematic review summarizes the existing data on headache and pregnancy with a scope on clinical headache phenotypes, treatment of headaches in pregnancy and effects of headache medications on the child during pregnancy and breastfeeding, headache related complications, and diagnostics of headache in pregnancy. Headache during pregnancy can be both primary and secondary, and in the last case can be a symptom of a life-threatening condition. The most common secondary headaches are stroke, cerebral venous thrombosis, subarachnoid hemorrhage, pituitary tumor, choriocarcinoma, eclampsia, preeclampsia, idiopathic intracranial hypertension, and reversible cerebral vasoconstriction syndrome. Migraine is a risk factor for pregnancy complications, particularly vascular events. Data regarding other primary headache conditions are still scarce. Early diagnostics of the disease manifested by headache is important for mother and fetus life. It is especially important to identify “red flag symptoms” suggesting that headache is a symptom of a serious disease. In order to exclude a secondary headache additional studies can be necessary: electroencephalography, ultrasound of the vessels of the head and neck, brain MRI and MR angiography with contrast ophthalmoscopy and lumbar puncture. During pregnancy and breastfeeding the preferred therapeutic strategy for the treatment of primary headaches should always be a non-pharmacological one. Treatment should not be postponed as an undermanaged headache can lead to stress, sleep deprivation, depression and poor nutritional intake that in turn can have negative consequences for both mother and baby. Therefore, if non-pharmacological interventions seem inadequate, a well-considered choice should be made concerning the use of medication, taking into account all the benefits and possible risks.