Objective. - To investigate both concurrent and prospective relationships between daily frustration, cognitive coping and coping efficacy on the one hand and daily headache occurrence on the other. Methods. - Eighty-nine adolescents aged 13-21 completed an online daily diary for 3 weeks. Data were analyzed using multilevel modeling. Results. - Daily frustration of goal pursuits was significantly related to both same day and next day headache occurrence. Coping efficacy beliefs were significantly related to lower next day headache occurrence (no same day relationship was found). None of the cognitive coping strategies used in response to daily frustration were related to headache occurrence on the same or next day. Conclusions. - Daily frustration to goal pursuit is suggested to be an important stressor contributing to concurrent and prospective headache occurrence. Furthermore, the extent to which adolescents believe in their ability to cope also appears to influence experience of subsequent headache. Further prospective studies are necessary to confirm these findings and to further unravel the possibly reciprocal relations between these factors. These findings offer useful insights into the dynamic interplay between daily stressful experiences and headache in youths.