Why does my head hurt when I cough?

Cough headache. There are a couple of possibilities. Coughing can raise the pressure inside your head, which can cause pain sometimes. There is also a poorly-understood entity called the "primary cough headache, " that is associated with coughing, straining, laughing, crying, etc. Here's an interesting link on the topic. http://www.mayoclinic.com/health/primary-cough-headaches/ds00639.