From PsycPORT comes a summary, Morning Headaches Associated with Depression and Anxiety:

Morning headache affects one individual in 13 in the general population, Dr. Ohayon writes. Chronic morning headaches are a good indicator of major depressive disorders and insomnia disorders. Contrary to what was previously suggested, however, they are not specific to sleep-related breathing disorder, concludes Dr. Ohayon.

You can read the study, Prevalence and Risk Factors of Morning Headaches in the General Population, at Arch Intern Med. 2004;164:97-102.

(via The HeartMath Report)