Objective To define headache characteristics and evolution in relation to COVID-19 and its inflammatory response. Methods This is a prospective study, comparing clinical data and inflammatory biomarkers of COVID-19 patients with and without headache, recruited at the Emergency Room. We compared baseline with 6-week follow-up to evaluate disease evolution. Results Of 130 patients, 74.6% (97/130) had headache. In all, 24.7% (24/97) of patients had severe pain with migraine-like features. Patients with headache had more anosmia/ageusia (54.6% vs. 18.2%; p < 0.0001). Clinical duration of COVID-19 was shorter in the headache group (23.9 +/- 11.6 vs. 31.2 +/- 12.0 days; p = 0.028). In the headache group, IL-6 levels were lower at the ER (22.9 (57.5) vs. 57.0 (78.6) pg/mL; p = 0.036) and more stable during hospitalisation. After 6 weeks, of 74 followed-up patients with headache, 37.8% (28/74) had ongoing headache. Of these, 50% (14/28) had no previous headache history. Headache was the prodromal symptom of COVID-19 in 21.4% (6/28) of patients with persistent headache (p = 0.010). Conclusions Headache associated with COVID-19 is a frequent symptom, predictive of a shorter COVID-19 clinical course. Disabling headache can persist after COVID-19 resolution. Pathophysiologically, its migraine-like features may reflect an activation of the trigeminovascular system by inflammation or direct involvement of SARS-CoV-2, a hypothesis supported by concomitant anosmia.