Conflicting evidence exists whether hormone replacement therapy (HRT) is a risk factor for headache. The aim of the study was to examine the prevalence of headache and migraine amongst postmenopausal women using HRT. In the Nord‐Trøndelag Health Study 1995–97 (HUNT 2), 18 323 (62%) out of 29 679 women aged 40 years or more responded to headache questions (Head‐HUNT). Amongst the 6007 postmenopausal women, 5507 (92%) responded to questions regarding use of HRT (2375 used or had used it) and questions related to headache (2407 had complaints). There was a significant association between headache and present use of HRT, both with local [odds ratio (OR) = 1.4, 95% confidence intervals (CI) 1.1–1.7] and systemic (OR = 1.6, 95% CI 1.4–1.9) application. This was found for non‐migrainous headache (OR = 1.3, 95% CI 1.1–1.5) and migraine (OR = 1.6, 95% CI 1.4–1.9). Both migraine and non‐migrainous headache were more probably amongst users of postmenopausal HRT than amongst those who had never used HRT. Whether HRT caused headache or was used partly because of headache cannot be determined in this cross‐sectional study.