Drug refractory chronic daily headache (CDH) is a highly disabling condition. CDH is usually regarded as the negative evolution of chronic migraine (CM) and is characterized by high prevalence of psychiatric disorders, especially mood disorders. Vagal nerve stimulation (VNS) is an established treatment option for selected patients with medically refractory epilepsy and depression. Neurobiological similarities suggest that VNS could be useful in the treatment of drug-refractory CM associated with depression. The aim of the study was to evaluate the efficacy of VNS in patients suffering from drug-refractory CM and depressive disorder. We selected four female patients, mean age 53 (range 43–65 years), suffering from daily headache and drug-refractory CM. Neurological examination and neuroradiological investigations were unremarkable. Exclusion criteria were psychosis, heart and lung diseases. The preliminary results in our small case series support a beneficial effect of chronic VNS on both drug-refractory CM and depression, and suggest this novel treatment as a valid alternative for this otherwise intractable and highly disabling condition.