To examine prevalence of mental health problems among adolescents with chronic headache and compare internal and external coping strategies in young people with chronic headaches with and without mental health problems. This study is based on a cross-sectional survey undertaken in Akershus County in Norway. A total of 19,985 adolescents were included in the study, covering lower secondary and upper secondary students, aged 13-19 years. Chronic headache was measured with a single item question based on headache frequency. Mental health was assessed by using the strengths and difficulties questionnaire (SDQ). Internal and external coping strategies were assessed through seven options for answering the question: What do you do/what happens when you are burdened by painful thoughts and feelings? Adolescents with chronic headaches showed more frequent mental health problems overall (23 %) compared to those without chronic headache (6 %). Logistic regression analyses showed that those adolescents having both chronic headaches and comorbid mental health problems more frequently used internal coping strategies, such as keeping feelings inside (OR 2.05), using abusive substances (OR 1.79) and talking oneself out of problems (OR 1.55), compared to those without mental health problems. Groups with mental health problems, especially with chronic headache, less frequently used the external strategy of talking to others about their problem than controls (OR 0.7-0.8). Factor analyses revealed significant differences in profiles of coping strategies between groups. We suggest that attention should be paid towards the high risk group that has both chronic headaches and mental health problems and their tendency to use destructive internal coping strategies.