Salam,
Sometimes I get headache. I have had hijab just 2 months by now so I started in the colder season and outdoors I have normal hijab so that I won't freeze, then when I come indoors I get a headache because it becomes too warm so fast. Otherwise when I get headache it was because I fasten the hijab too tight. Now with khimar I don't use needles so it never becomes too tight again. But more reasons than that for getting headache I don't really know. Otherwise you can change the style you make the hair under the hijab. Sometimes when the hair is too tight or if you make it a ball under it can be too heavy on one spot so it gives you headache. I had to change my style under because of that problem.