There are many types of headaches, and massage therapy may variously be an effective treatment depending on the type of headache you have.
While insufficient evidence exists on the general effectiveness of massage therapy for acute, chronic or recurrent headaches 1, 2, a systematic review did find positive effects of massage therapy on migraine 3. The preliminary research suggests that massage therapy reduces affective distress and pain reduction for individuals with chronic headaches.
1Biondi D. Noninvasive treatments for headache. Expert Rev Neurother 2005; 5(3): 355-62; Biondi D. Physical treatments for headache: a structured review. Headache 2005; 45(6): 738-46; Bronfort G, Nilsson N, Haas M, Evans R, Goldsmith C, Assendelft W, et al. Non-invasive physical treatments for chronic/recurrent headache. Cochrane Database of Systematic Reviews 2004(3); Fernandez-de-Las-Penas C, Alonso-Blanco C, Cuadrado M, Miangolarra J, Barriga F, Pareja J. Are manual therapies effective in reducing pain from tension-type headache?: a systematic review. Clin J Pain 2006; 22(3): 278-85; Vernon H, McDermaid C, Hagino C. Systematic review of randomized clinical trials of complementary/alternative therapies in the treatment of tension-type and cervicogenic headache. Complement Ther Med 1999; 7(3): 142-55.
2 Kenny, NG. 2011. “The effectiveness of massage therapy.” http://aamt.com.au/wp-content/uploads/2011/11/AAMT-Research-Report-10-Oct-11.pdf
3 Chaibi, Aleksander, Tuchin, Peter J., and Michael Bjørn Russell. 2011. “Manual Therapies for Migraine: A Systematic Review.” Journal of Headache and Pain