From one study

The four migraine patients found to have celiac disease were treated for six months with a gluten-free diet and their symptoms decreased or were eliminated. The patients also showed an improvement in their cerebral blood flow on a gluten-free diet that was confirmed by using single-photon emission computed tomography scans.

A different study:

The study examined ten patients who had a long history of chronic headaches that had recently worsened, or were resistant to treatment. Some patients had additional symptoms such as lack of balance.

The patients were tested and each was found to be gluten-sensitive. Additionally, MRI scans determined that each had inflammation in their central nervous systems caused by gluten-sensitivity.

Results: Nine out of 10 patients went on a gluten-free diet, and seven of them stopped having headaches completely. The patients' heightened immune responses, which are triggered by the ingestion of gluten, could be one of the factors causing the headaches. The other two patients who were on a gluten-free diet experienced significant relief, but not complete relief.

http://www.celiac.com/st_prod.html?p_prodid=826&p_catid=99&sid=91hH9H1Ey9zm1Z9-33105174620.96

http://www.celiac.com/st_prod.html?p_prodid=123&p_catid=&sid=91hH9H1Ey9zm1Z9-06105174620.76