Background: Little is known about the frequency and impact of the persistent headache and about the incidence of chronic daily headache (CDH) after coronavirus disease 2019 (COVID-19). The aim of this prospective cohort study was to assess the incidence, risk factors, characteristics, and impact of CDH in patients with COVID-19. Methods: In the first stage, 288 patients were interviewed by telephone after the acute phase of COVID-19. Subsequently, 199 patients who presented headache were reinterviewed at least one year after COVID-19. Headaches that persisted beyond the acute phase of COVID-19 for three or more months and presented frequency ≥ 45 days over the first three months were considered to be CDH. Results: One hundred and twenty-three patients were included, 56% were females; median age: 50 years (25th and 75th percentile: 41;58). The headache persisted beyond the acute phase of COVID-19 in 52%, and 20.3% had CDH (95% confidence interval: 13.6–28.2). Individuals who previously had headaches and who had headaches of greater intensity during the acute phase were at higher risk of developing CDH. The group with CDH included more females, greater impact of headache, more persistence of headache beyond the 120th day of COVID-19 and less throbbing headache than did the other individuals whose headache persisted. Conclusions Patients who had COVID-19 had a high incidence of CDH. Previous headache and greater intensity of headache were associated with higher risk of CDH.