Headache disorders are very common, but their monetary costs in Europe are unknown. We performed the first comprehensive estimation of how economic resources are lost to headache in Europe. From November 2008 to August 2009, a cross-sectional survey was conducted in eight countries representing 55% of the adult EU population. Participation rates varied between 11% and 59%. In total, 8412 questionnaires contributed to this analysis. Using bottom-up methodology, we estimated direct (medications, outpatient health care, hospitalization and investigations) and indirect (work absenteeism and reduced productivity at work) annual per-person costs. Prevalence data, simultaneously collected and, for migraine, also derived from a systematic review, were used to impute national costs. Mean per-person annual costs were €1222 for migraine (95% CI 1055-1389; indirect costs 93%), €303 for tension-type headache (TTH, 95% CI 230-376; indirect costs 92%), €3561 for medication-overuse headache (MOH, 95% CI 2487-4635; indirect costs 92%), and €253 for other headaches (95% CI 99-407; indirect costs 82%). In the EU, the total annual cost of headache amongst adults aged 18-65 years was calculated, according to our prevalence estimates, at €173 billion, apportioned to migraine (€111 billion; 64%), TTH (€21 billion; 12%), MOH (€37 billion; 21%) and other headaches (€3 billion; 2%). Using the 15% systematic review prevalence of migraine, calculated costs were somewhat lower (migraine €50 billion, all headache €112 billion annually). Headache disorders are prominent health-related drivers of immense economic losses for the EU. This has immediate implications for healthcare policy. Health care for headache can be both improved and cost saving. © 2011 The Author(s). European Journal of Neurology © 2011 EFNS.