For me, it didn’t help either, but guided me to search how I could change my emotions. A mix of yoga and meditation plus techniques from “Code to Joy” by George Pratt helped me chronic headaches.
Yoga helps you become more aware of your mind-body. Meditations practiced in Kundalini yoga can help you become more deeply aware of your mind, or trigger certain helpful ideas (they usually have a very specific intention). What was left for me was to change negative beliefs that were created throughout my life, and that I accomplished with Code to Joy (and some of their previous work, which is more focused in emotions rather than beliefs).