Headaches are definitely normal during the first couple of weeks, especially during the first week. Your body is detoxifying itself and that can lead to a lot of symptoms until you finally get over that hump. During my first week of gluten free I had a rollercoaster ride of symptoms but most went away shortly after. Also, remember that everyone's body responds a little differently and to be patient with your recovery.
I also found out that my headache may have been caused by low blood sugar, felt much better after eating some soup and an apple. That may be why I have been so tired also. Headache still there but very weak.