The benefits of the regular exercise on quality of life of individuals living with a headache are well known. However, whether the benefits of the exercise training on headache parameters (i.e., intensity, frequency, and pain duration) occur in an intensity-dependent fashion remains unknown. Objective The aim of the study was to investigate the effects of different exercise intensities on headache parameters. Design A systematic review of clinical trials that analyzed the effect of physical exercise on headache, without time or language restriction. The TESTEX scale was used to evaluate the methodological quality of the articles. Results Sixteen (16) articles were included with interventions with aerobic training and resistance training. Primary results are positive effects of exercise on migraine symptoms, tension-type headache among others, and a decrease in the use of headache-related medications. On the other hand, the studies did not provide information on exercise intensity, especially studies with aerobic exercises. The intensities used for aerobic training was mostly controlled subjectively and the resistance training ranged from 10% to 80% of maximum repetition. Conclusions Exercise had a positive influence on the frequency and severity of headache crises, although the studies presented inconclusive data regarding the exercise parameters.