I have had a headache for a few days now and under my left eye has started twitching. Should I be worried?

Benign. Most "muscle twitches" involving eyelid are secondary to myokymia, which is a benign flickering, usually associated with eyestrain, fatigue, stress, bright sunshine, etc. But blepharospam may explain your twitch, and, if painful, or increasingly uncomfortable, have your eye specialist evaluate, and treat as appropriate.