Background: Intravenous immune globulin (IVIg) is frequently used in some neurological diseases and is also the first-line therapy in Guillain-Barré syndrome, chronic inflammatory demyelinating polyneuropathy, and multifocal motor neuropathy. We aimed to evaluate the frequency and characteristics of headaches, which is one of the most common side effects of IVIg treatment. Methods: Patients who received IVIg treatment for neurological diseases were prospectively enrolled in 23 centers. Firstly, the characteristics of patients with and without IVIg-induced headaches were analyzed statistically. Then, patients with IVIg-induced headaches were classified into three subgroups determined by their history: no primary headache, tension-type headache (TTH), and migraine. Results: A total of 464 patients (214 women) and 1548 IVIg infusions were enrolled between January and August 2022. The frequency of IVIg-related headaches was 27.37% (127/464). A binary logistic regression analysis performed with significant clinical features disclosed that female sex and fatigue as a side effect were statistically more common in the IVIg-induced headache group. IVIg-related headache duration was long and affected daily living activities more in patients with migraine compared to no primary headache and TTH groups (p = 0.01, respectively). Conclusion: Headache is more likely to occur in female patients receiving IVIg and those who develop fatigue as a side effect during the infusion. Clinicians’ awareness of IVIg-related headache characteristics, especially in patients with migraine, may increase treatment compliance.