Chronic daily headache is a challenge for clinical practitioners and researchers. Etiology, pathophysiology, diagnosis, treatment, and prognosis of chronic daily headache present many questions that need answers. A chance occurrence of psychiatric disorders (mostly anxiety and mood disorders) in patients with chronic daily headache should not be excluded. This results in the need to understand the involved mechanisms, which requires us to draw new insights into the etiology, diagnosis, treatment, and prognosis of chronic daily headache. Psychiatric comorbidity seems to be cross-related to each of these dimensions, although the meanings need to be drawn. Each domain is discussed, considering the status of knowledge and stressing the future lines of research.