Oxygen therapy (OT) can relieve head pain in certain primary headache disorders, including cluster headache (CH). The exact underlying mechanism is currently uncertain, but suggested mechanisms include inhibition of the trigeminoautonomic reflex, modulation of neurotransmitters, and cerebral vasoconstriction. OT is the standard for acute treatment of CH, but patients with CH often experience considerable difficulties accessing home OT due to problems with insurance coverage. Inhalation of 100% oxygen at 6–12 L/min for 15–30 min using a non-rebreather face mask is one of the most effective acute therapies for CH, but several trials have indicated the superiority of higher oxygen flow rates of up to 15 L/min and/or using a demand-valve oxygen mask that can produce very high flow rates. Two randomized controlled trials have demonstrated the efficacy of OT in migraine, but obtaining reliable evidence is considered difficult because of different inhalation protocols, varying outcome measures, and small samples. There are some reports on the efficacy of OT as an adjuvant therapy in hypnic headache, primary headache in the emergency department, and even postdural puncture headache. The goal of this review article is to expand the knowledge regarding the use of oxygen in the treatment of headache disorders.