Background Headaches associated with physical exertion include headache precipitated by coughing or other Valsalva maneuvers, headache brought on by prolonged physical exercise, sexual headaches and cardiac cephalalgia. Objective To review and update the clinical characteristics, etiologies, pathophysiology and management of these headaches related to exertion. Methods In depth review of the publications, both in PubMed and in the main textbooks, of the different headaches induced by physical exercise. Results Cough, exercise and sexual headaches can be primary or secondary; therefore, complementary studies are mandatory to rule out structural lesions. However, clinical characteristics, such as an old age and response to indomethacin for cough headache or being a young male and response to beta-blockers for exercise and sexual headaches, plus a normal examination are suggestive of a primary etiology. Etiology for secondary varieties, as posterior fossa lesions for cough headache or vascular malformations for exercise and sexual headaches, are also different. Finally, headache as a distant manifestation of myocardial ischemia, also known as “cardiac cephalalgia”, appears at exertion in around two-thirds of cases and typically lasts less than 30 minutes and is relieved by nitroglycerine. Conclusions Primary and secondary cough headache can usually be suspected based on clinical characteristics and separated from exercise and sexual headaches, which share many aspects. Cardiac cephalalgia is not necessarily an exertional headache and should be considered in adult patients with short lasting headaches and patent vascular risk factors.