Many patients affected by cluster headache (CH) have a co-morbid depression. The aim of this study is to evaluate how the burden of disease is influenced by depressive symptoms measured by a depression score. The study was cross-sectional and Internet-based. We included individuals with a self-reported diagnosis of CH and asked them to fill out the EUROLIGHT questionnaire, which includes a depression score. The number of headache days was higher among patients with higher depression scores. In these participants, worrying about future attacks, avoiding triggers, believing to have earned less and avoiding to talk about the disease were more common as well. Individuals with higher depression scores reported a significantly higher burden of disease. It is possible that fear of pain, self-concealment and fear of impoverishment are consequences of the depression attributed to the headache disorder.