Numerous studies have demonstrated comorbidity between migraine and tension-type headache on the one hand, and depression on the other. Presence of depression is a negative prognostic indicator for behavioral treatment of headaches. Despite the recognised comorbidity, there is a limited research literature evaluating interventions designed for comorbid headaches and depression. Sixty six participants (49 female, 17 male) suffering from migraine and/or tension-type headache and major depressive disorder were randomly allocated to a Routine Primary Care control group or a Cognitive Behavior Therapy group that also received routine primary care. The treatment program involved 12 weekly 50-min sessions administered by clinical psychologists. Participants in the treatment group improved significantly more than participants in the control group from pre-to post-treatment on measures of headaches, depression, anxiety, and quality of life. Improvements achieved with treatment were maintained at four month follow-up. Comorbid anxiety disorders were not a predictor of response to treatment, and the only significant predictor was gender (men improved more than women). The new integrated treatment program appears promising and worthy of further investigation.