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Over the years I have seen many patients whose headaches improved on a gluten-free diet. Most of these patients tested negative for gluten allergy, or celiac disease (CD). Until now, it was difficult to explain why eliminating gluten would help not only headaches, but many other symptoms, such as bloating, diarrhea, and fatigue.
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A study just published in BMC Medicine by a group of American and Italian researchers appears to have found the answer. Researchers from Maryland and Naples compared a group of healthy subjects with patients who had proven celiac disease and patients whose symptoms suggested celiac disease but whose tests for celiac disease were negative. They called the latter group gluten-sensitive (GS). Gluten-sensitive patients improved when they were on gluten-free diet and worsened when gluten was introduced into their diets. Celiac disease is usually diagnosed by a blood test for antibodies to gluten and by intestinal biopsy. The gluten-sensitive patients had normal biopsies and no antibodies to gluten, but their blood did show signs of an immune reaction of a different type.
This study still needs to be repeated by other researchers, but if these findings are confirmed they will explain why gluten can cause a variety of symptoms, including headaches. The bottom line is that if you have headaches and gastrointestinal symptoms, such as bloating, diarrhea, constipation, as well as fatigue and mental “fog”, it may be worth trying a gluten-free diet. Gluten-free diet is not an easy undertaking since many products (including beverages) besides bread and pasta contain gluten. You can find a detailed list of foods containing gluten on the Celiac Disease Foundation website and on the Mayo clinic website.
It is possible that a similar mechanism plays a role in patients who find relief on a dairy-free diet even if they are not lactose-intolerant. In my practice I find that fewer patients are sensitive to dairy products than to gluten and I have seen some patients who are sensitive to both.
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"I had my first migraine when I was 12. I thought I was going blind, the spots in my vision all grouped together and everything went black. The pain was intense and felt like my head would crack open above my right eye." 
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[...] straight with a headache, one day that verged on a puking migraine. I’m convinced that my migraines are triggered by gluten. I’ve not eaten anything with gluten since April 2nd, and not only have I not had a migraine, [...]
I have been gluten free for 18 months now and it has reduced my migraines by about 75%. AFter 2 months it cleared up some of the “brain fog” that I have lived with for a long time and it makes me feel as though I am two steps away from a migraine instead of ready to “tip off the cliff” at the slightest breeze. I decided to try it because I had some abdominal pain and thought – at least it’s not more drugs. It took about 2 months of vigilantly sticking to it to notice migraine frequency decrease – and now I will never go back. When I see a piece of bread I think – nothing is worth a migraine – and it is like I don’t even see it or want it now. I am not celiac – but I don’t need a label to know it works. So grateful this helps. It doesn’t cure my basilar-type migraines, but still made a difference. Maybe it will help you? At least it’s not more drugs. Take care, everyone.