Small subsets of patients who fail to respond to pharmacological treatment may benefit from alternative treatment methods. In the last decade, neurostimulation is being explored as a potential treatment option for the patients with chronic, severely disabling refractory primary headaches. To alleviate pain, specific nerves and brain areas have been stimulated, and various methods have been explored: deep brain stimulation, occipital nerve stimulation, and sphenopalatine ganglion stimulation are among the more invasive ones, whereas transcranial magnetic stimulation and supraorbital nerve stimulation are noninvasive. Vagal nerve stimulation can be invasive or noninvasive, though this review included only data for noninvasive VNS. Most of these methods have been tested in small open-label patient series; recently, more data from randomized, controlled, and blinded studies are available. Although neurostimulation treatments have demonstrated good efficacy in many studies, it still has not been established as a standard treatment in refractory patients. This review analyzes the available evidence regarding efficacy and safety of different neurostimulation modalities for the treatment of chronic migraine and cluster headache.