Whenever you introduce a new substance to your body, there is always a chance for a reaction that is adverse. An example of this is taking melatonin supplements and getting headaches. There is also another school of thought regarding what causes this. Some people believe that as melatonin is connected to the circadian rhythm, taking supplements could interfere with the sleep cycle. This is what could end up causing headaches. When you take too much melatonin before going to sleep, you could find that you have a hard time falling asleep. In addition to this, you could experience a headache as well.