Headaches are among the most prevalent and disabling disorders and there are several patients’ unmet needs in current pharmacological options, while a growing interest is focusing on nutritional approaches as non-pharmacological treatments. Among these, the most promising seems to be the ketogenic diet (KD). Exactly 100 years ago, KD was used to treat pediatric forms of drug-resistant epilepsy, but progressively applications of this diet also involved adults and other neurological disorders. Evidence of KD effectiveness in migraine comes from 1928, but in the last years different groups of research and clinicians paid attention to this therapeutic option to treat patients with drug resistant migraine and cluster headache, and/or comorbid with metabolic syndrome. Here we describe all the existing evidence on the potential benefits of KDs in headaches, explore in deep all the potential mechanisms of action involved in the efficacy, and synthesize results of working meetings of an Italian panel of experts on this topic. Aim of the working group is the creation of a consensus on indications and clinical practice to treat with KDs patients with headache. The results here we present are the base for further improvement in the knowledge and application of KDs in the treatment of headaches.