The aim of this study was to examine the healthcare resource utilization and costs for Taiwanese patients living with headache, with and without comorbid depression. Data were collected from the National Health Insurance Research Database of Taiwan and included patients, aged 18 or more years, who had been diagnosed with headache between 2000 and 2010. A total of 5,457 subjects were included in the analysis, and each case (patient with headache with depression) was then randomly matched with four controls (patient with headache without depression) according to the first year of their headache diagnosis and their propensity score. Our results suggested that healthcare costs for patients living with headache who did not have depression decreased over time. In contrast, patients living with headache and depression were more likely to utilize outpatient services, which increased healthcare costs. The cost of outpatient services mainly consisted of prescription medication charges and investigative test charges, such as electroencephalogram. This study demonstrated that patients living with headache and depression are more likely to access healthcare services, resulting in increased healthcare costs. These findings have implications in terms of future healthcare services, especially within the first 12 months after a headache diagnosis.