Sleep and headache have a complex and extensive interrelationship. This review focuses on the relationship between sleep and chronic daily headache, examining recent advances in the epidemiology and insights into possible mechanisms of this relationship as well as reviewing advances in treatment. There is a clear relationship between obstructive sleep apnoea (OSA) and snoring and morning headache, but the relationship between OSA and snoring and other primary headaches requires clarification. OSA and chronic migraine share both obesity and patent foramen ovale (PFO) as possible co-morbidities. Hypoxia does not clearly predispose to morning headache. Continuous positive airway pressure (CPAP) is an established treatment for OSA, and mixed results have been reported with regards to headache improvement with this treatment.