Background: Diagnostic tests are not routinely used for the diagnosis of primary headaches. It is possible that laboratory tests could be developed and implemented at tertiary headache centers to be an integrated part of the diagnosis and management of headache patients, and laboratory tests that can be used on-site at headache centers could help in evaluating patients with secondary headache disorders. Methods: In this narrative review, we present some of the studies that have been made so far at the Headache Diagnostic Laboratory at the Danish Headache Center that aim to investigate and phenotype primary headaches and investigate secondary headaches as well as improve management. Results: Semi-structured interviews and deep phenotyping, quantitative sensory testing, and provocation studies have been shown to be valuable in categorizing primary and secondary headache subtypes, possible pathophysiology, and defining needs for further research. In patients suspected of increased intracranial pressure, transorbital ultrasound with measurement of the optic sheath diameter may be useful in monitoring patients. The management of headache patients needs to be critically evaluated to optimize treatment continuously. Conclusion: A Headache Diagnostic Laboratory is very useful and should be an integrated part of headache care and management at tertiary headache centers.