It is estimated that nearly half of the global adult population suffers from an active headache disorder, most of whom experience attacks on an episodic basis. The transition from episodic to chronic headache is a poorly understood process. Epidemiological findings demonstrating comorbidity and common risk factors suggest that headache progression or prognosis may be related to the presence of other chronic pain disorders. This review highlights findings from population-based studies on headache and other pain disorders and how they relate to each other, with a focus on understanding headache chronification. We also consider the limitations and methodological challenges in understanding how two different chronic pain disorders may be related.