Migraine and headache frequently co-occur with type 2 diabetes (T2D), suggesting a shared aetiology between the two conditions. We used genome-wide association study (GWAS) data to investigate the genetic overlap and causal relationship between migraine and headache with T2D. Using linkage disequilibrium score regression (LDSC), we found a significant genetic correlation between migraine and T2D (rg = 0.06, p = 1.37 × 10−5) and between headache and T2D (rg = 0.07, p = 3.0 × 10−4). Using pairwise GWAS (GWAS-PW) analysis, we identified 11 pleiotropic regions between migraine and T2D and 5 pleiotropic regions between headache and T2D. Cross-trait SNP meta-analysis identified 23 novel SNP loci (Pmeta < 5 × 10−8) associated with migraine and T2D, and three novel SNP loci associated with headache and T2D. Cross-trait gene-based overlap analysis identified 33 genes significantly associated (Pgene-based < 3.85 × 10−6) with migraine and T2D, and 11 genes associated with headache and T2D, with 7 genes (EHMT2, SLC44A4, PLEKHA1, CFDP1, TMEM170A, CHST6, and BCAR1) common between them. There was also a significant overlap of genes nominally associated (Pgene-based < 0.05) with both migraine and T2D (Pbinomial-test = 2.83 × 10−46) and headache and T2D (Pbinomial-test = 4.08 × 10−29). Mendelian randomisation (MR) analyses did not provide consistent evidence for a causal relationship between migraine and T2D. However, we found headache was causally associated (inverse-variance weighted, ORIVW = 0.90, Pivw = 7 × 10−3) with T2D. Our findings robustly confirm the comorbidity of migraine and headache with T2D, with shared genetically controlled biological mechanisms contributing to their co-occurrence, and evidence for a causal relationship between headache and T2D.