This case report presents a 32-year-old male marathon runner presenting with bilateral throbbing headaches during runs, resolving within hours. The runner’s history lacks trauma, systemic symptoms, or familial aneurysm risk, lowering suspicion of sinister mimics like reversible cerebral vasoconstriction syndrome or cardiac cephalgia. A routine physical exam (including blood pressure and fundoscopy) and magnetic resonance imaging/magnetic resonance angiography (MRI/MRA) results support the diagnosis of primary exercise headache (PEH) over secondary causes. This report is contextualized with current literature on the diagnosis, epidemiology, management, and pathophysiology of PEH. Treatment combining behavioral strategies, graduated protocols, breathing techniques, and indomethacin enabled our patient to continue marathons—a model for clinicians. Future research should refine the global prevalence and test emerging pharmacological treatments; however, current evidence supports a proactive, exercise-friendly approach, which can enhance outcomes in this headache disorder.