Not sure whether your question is asking if we get bad headaches, or can you get them?
You can find most side effects for Zoloft listed here. I looked through it twice and didn't see headache listed but that does not mean that you, individually, cannot have this problem from a drug.
If you are taking Zoloft and have such bad headaches, you should contact your doctor, there might be some other problem or interaction with some other medication you are taking. They want to know about any side effects you are having so they can adjust the dose, have you stop, or try something else.
I have been on Zoloft for about a month now, and I don't get headaches. In fact, the tension headaches I was getting before have actually stopped, I think in part because the Zoloft helps me handle my stress. But as Paul said, just because the listed side effects don't include headaches and I don't get them, that doesn't mean Zoloft isn't causing them. I'd definitely check with your doctor.
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