How can anxiety cause a headache?

Thru muscle tension: Anxiety leads to muscle tension, and many people hold tension in their neck and shoulders. The neck muscles are connected to a muscle in the back of the head (the occipitalis muscle) and that is connected to a muscle of the forehead (the frontalis muscle) by a thick connective sheath (the galea aponeurotica). Tension in each and all of these structures can lead to headache.