Our aim was to assess gender differences in variables associated with the emotional and physical burdens of tension-type headache (TTH). Participants with TTH diagnosed according to the ICHD-III were recruited from three university-based hospitals (in Spain, Italy, Denmark) between January 2015 and June 2017. The physical/emotional headache burden was assessed with the Headache Disability Inventory (HDI-P/HDI-E, respectively). Headache features were collected with a four-week diary. Sleep quality was assessed with Pittsburgh Sleep Quality Index. The Hospital Anxiety and Depression Scale evaluated anxiety and depressive symptom levels. Trait and state anxiety levels were evaluated with the State-Trait Anxiety Inventory. Two hundred and twelve (28% men) participants (aged 41–48 years old) participated. Multiple regression models revealed that sleep quality explained 36.7% of the variance of HDI-E and 31.1% of the variance of HDI-P in men, whereas headache intensity, depressive levels, and younger age explained 37.5% of the variance of HDI-E and 32.8% of the variance of HDI-P in women (all p <.001). This study observed gender differences in variables associated with headache burden in TTH. Management of men with TTH should focus on interventions targeting sleep quality, whereas the management of women with TTH should combine psychological approaches and interventions targeting pain mechanisms.