The aim of this study was to investigate whether chronic daily headache (CDH) and temporomandibular disorders (TMD) patients present with different psychological and sleep quality characteristics. Sixty-seven patients diagnosed with CDH, according to classification criteria from Silberstein et al., were matched by age and sex with 67 patients who had a primary diagnosis of myofascial pain (MP) and 67 patients with a primary diagnosis of TMJ intracapsular pain (IC) according to the Research Diagnostic Criteria for TMD. The CDH group was comprised of three mutually exclusive diagnostic groups: chronic migraine (n = 35); chronic tension-type headache (n = 26); ‘other CDH’ (n = 6). All patients completed a battery of psychological and sleep quality questionnaires. All CDH subgroups showed similar psychological and sleep quality profiles. Pain intensity and duration were controlled in the multivariate analyses (MANCOVA) by treating them as covariates. The CDH and MP groups revealed higher levels of psychological distress than the IC group on most psychological domains. The MP group also revealed numerically higher levels of psychological distress in most psychological domains than the CDH group, although these differences were generally not significant. We did not find significant differences between the three groups on post traumatic stress symptoms either. Sleep quality was significantly worse in the MP group than in the CDH and IC groups. These results are discussed in the context of multimodal patient evaluation and treatments that are often necessary for successful clinical management.