Cluster headache (CH) is a chronic syndrome characterized by excruciatingly painful attacks occurring with circadian and circannual periodicity. The objectives of the present study were, in CH patients, to determine by principal component analysis the factor structure of two instruments commonly used in clinics to evaluate pain locus of control (Cancer Locus of Control Scale–CLCS) and coping strategies (Coping Strategies Questionnaire–CSQ), to examine the relationship between internal pain controllability and emotional distress, and to compare psychosocial distress and coping strategies between two subsets of patients with episodic or chronic CH. Results indicate, for CLCS, a 3-factor structure (internal controllability, medical controllability, religious controllability) noticeably different in CH patients from the structure reported in patients with other painful pathologies and, for CSQ, a 5-factor structure of CSQ which did not markedly diverge from the classical structure. Perceived internal controllability of pain was strongly correlated with study measures of depression (HAD depression/anhedonia subscale, Beck Depression Inventory). Comparison between subsets of patients with episodic or chronic CH of emotional status, pain locus of control, perceived social support and coping strategies did not reveal significant differences apart for the Reinterpreting pain sensations strategy which was more often used by episodic CH patients. Observed tendencies for increased anxiety and perceived social support in patients with episodic CH, and for increased depression and more frequent use of the Ignoring pain sensations strategy in patients with chronic CH, warrant confirmation in larger groups of patients.