OP we **do not know** the answer to this and I regret to inform you some will speak as if they do. There are *many* causes of headache, some more obvious than the other.
For instance, some have told you already how it has something to do with the nerves. You do not have sensation in your brain. Local anesthetic is not needed for brain surgeries (ie lobotomies).
You can sense pressure inside the head (which is actually distinct from pain), but that is the extent of what we know. Sometimes there are fragments of the skull in serious emergency that break off & cause pain locally, other times there’s well established types of cancers that cause headaches in certain regions, or splitting headaches.
For a headache originating from, say, the common cold, we don’t know where they come from or how. There are some theories, but they’re VERY unscientific and some are unfalsifiable (ie making correlation observations) and could be interpreted many ways.
TL;DR: We don’t know.
I had one the other day and thought about asking the same thing here. There’s seriously no measurable way we can see anything different happening in the head during a headache? Since if I had to describe what one feels like I’d say it feels like there’s too much fluid/high pressure around the brain compressing on it. Is there a way one can study if the fluid increases during headaches? Or that maybe the brain gets hotter/colder? Maybe blood flow changes? So many things could be causing the unpleasant phenomenon one would think there’s something that would show up on a scan or test.
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