As society ages, cognitive impairment is widespread, seriously affecting patients in their work, study, and social activities and becoming a serious public health problem. Previous studies have found that cognitive impairment is common in patients with primary headache. The shared anatomical basis, regulation of serotonin system, inflammation, neuroendocrine disorders, intestinal dysbacteriosis and involvement of depression, may be the pathophysiological basis of the comorbidity. Different types of primary headaches are also associated with different cognitive domains, resulting in different treatment options. This article reviews the pathophysiological mechanism and research progression in cognitive impairment associated with primary headache, aiming to provide patients with more reasonable treatments.