Obstructive sleep apnea (OSA) is one of the most common sleep disorders; however, there are inconsistent results about the connection and occurrence of primary and secondary headaches in OSA. Therefore, the primary objectives were to estimate the prevalence and potential relationship between all types of headaches and OSA. A systematic review was conducted according to PRISMA 2020 guidelines. Studies were searched in PubMed, Embase, and Web of science up to July 2023. The Joanna Briggs Institute tool assessed the risk of bias. 1845 articles were identified, and 23 studies describing 15,402 patients were included. Pooled prevalence of all headaches in OSA was 33% (95% CI: 0.25–0.41), 33% for morning headaches (95% CI: 0.24-0.45), 25% for sleep apnea headaches (95% CI: 0.18-0.34), 19% for tension-type headache (95% CI: 0.15-0.23), and 16% for migraine (95% CI: 0.09-0.26). Relative risk for the occurrence of headache in OSA patients compared to the non-OSA people was 1.43 (95% CI: 0.92-2.25). OSA females and males had morning headaches with similar frequency. The prevalence of headaches in OSA was moderate. OSA did not increase the risk of headache. There is a need to conduct further studies focused on bidirectional connections between sleep disorders and headaches.