I had an MRI a few months ago, I think I cried through the whole thing. It's not painful or horrific but I am very thin and still felt like it was a snug fit going into that tunnel. If u are claustrophobic it's probably best to close your eyes, keep your breathing even and calm. Also let the technician know you are anxious in confined spaces, and they really mean it when they say "no metal jewellery, bobbles, hair pins etc" I highly doubt anyone ignores that rule anyway.
It's like being put in a switched off washing machine to be honest, you do hear rumbling or clunking sounds and I honestly thought I could feel my arm hairs tingling/standing on end. The experience would probably have been loads better if I wasn't so ill in the first place. I was in agony due to gall stones causing pancreatitis so lying flat on my back really really hurt. They propped my head n legs in a nice position tho and had I not been in pain it would have been incredibly comfortable. They did play music into earphones to drown out the sound which helps a bit. Plus they gave me instruction to hold my breath, take a big deep breath and hold it for an eternity, but for headaches they may not need you to do that.
They do make you feel very comfy and if u need to stop at anytime, you have a hand held device u squeeze on and they stop immediately and get you out. The person operating the machine will ask you if you are ok at regular intervals and offer you reassurance. Good luck, I really hope you get some answers. X