This chapter presents stress management techniques that include relaxation therapy (RT), biofeedback, cognitive behavior therapy (CBT), coping skills and support groups to treat headache disorders. Stress management approaches are used as a sole treatment, as adjunctive to pharmacological management, or as a replacement to pharmacotherapy. RT is an approach that helps patients gain awareness of their physiological responses and achieve a sense of tranquility by gaining control over their headache-related physiological changes by lowering sympathetic arousal. CBT has been used as an adjunct in the management of various types of headaches. Coping strategies of chronic headache sufferers include constantly changing cognitive and behavioral efforts to manage stressful events that they appraise as taxing on or exceeding their personal resources. The emphasis on evidence-based techniques has resulted in the development of a grading system and guidelines for the use of non-pharmacological approaches in headache management.