Background: Many studies have reported that depression and anxiety have bidirectional relationship with headache. However, few researches investigated the roles of depression or anxiety in patients with headache. We surveyed the prevalence of depression and anxiety as a complication or cause of headache among outpatients with a chief complaint of headache at neurology clinics in general hospitals. Additional risk factors for depression and anxiety were also analyzed. Methods: A cross-sectional study was conducted at 11 general neurological clinics. All consecutive patients with a chief complaint of headache were enrolled. Diagnoses of depression and anxiety were made using the Chinese version of the Mini International Neuropsychiatric Interview, and those for headache were made according to the International Classification of Headache Disorders, 2nd Edition. The headache impact test and an 11-point verbal rating scale were applied to assess headache severity and intensity. Logistic regression was used to analyze risk factors of patients with headache for depression or anxiety. Results: A total of 749 outpatients with headache were included. Among them, 148 (19.7%) were diagnosed with depression and 103 (13.7%) with anxiety. Further analysis showed that 114 (15.2%) patients complaining headache due to somatic symptoms of psychiatric disorders and 82 (10.9%) had a depression or anxiety comorbidity with headache. Most patients with depression or anxiety manifested mild to moderate headaches. Poor sleep and severe headache-related disabilities were predictors for either depression or anxiety. Conclusion: Clinicians must identify the etiology of headache and recognize the effects of depression or anxiety on headache to develop specific treatments.