Multivariable regression analyses revealed that CRP levels were not significantly associated with headache frequency per month (β = −0.076, p = 0.238), the severity of anxiety (Generalized Anxiety Disorder-7 score, β = 0.143, p = 0.886), and depression (Patient Health Questionnaire-9 score, β = 0.143, p = 0.886). Here, CRP is linked to depressive disorder.