Background: Headache affects 90–99% of the population. Based on the question “Do you think that you never ever in your whole life have had a headache?” 4% of the population say that they have never experienced a headache. The rarity of never having had a headache suggests that distinct biological and environmental factors may be at play. We hypothesized that people who have never experienced a headache had a lower general pain sensitivity than controls. Methods: We included 99 male participants, 47 headache free participants and 52 controls, in an observer blinded nested case-control study. We investigated cold pain threshold and heat pain threshold using a standardized quantitative sensory testing protocol, pericranial tenderness with total tenderness score and pain tolerance with the cold pressor test. Differences between the two groups were assessed with the unpaired Student’s t-test or Mann-Whitney U test as appropriate. Results: There was no difference in age, weight or mean arterial pressure between headache free participants and controls. We found no difference in pain detection threshold, pericranial tenderness or pain tolerance between headache free participants and controls. Conclusion: Our study clearly shows that freedom from headache is not caused by a lower general pain sensitivity. The results support the hypothesis that headache is caused by specific mechanisms, which are present in the primary headache disorders, rather than by a decreased general sensitivity to painful stimuli. Trial registration: Registered at ClinicalTrials.gov (NCT04217616), 3rd January 2020, retrospectively registered.