Inadvertent dural puncture with subsequent post-dural puncture headache (PDPH) is the most typical complication of labour epidural analgesia. Subdural hematoma (SDH) is a rare but late neurological complication of this procedure. The intracranial hypotension created by the cerebrospinal fluid (CSF) leakage through the dural defect can lead to the rupture of the bridging veins to produce a subdural hematoma. A change in the character from postural to a non-postural headache is a warning sign of subdural hematoma. We describe a case of post-dural puncture headache followed by the development of cranial SDH in a patient who refused a blood patch and opted for conservative treatment. We conclude that a high index of suspicion must be maintained with a witnessed dural puncture or even without it but having persistent headache, to detect any severe complications like an intracranial subdural hematoma. An epidural blood patch is to be considered when the headache does not subside with conservative management. Early employment of MRI or CT head imaging studies should be considered to exclude, diagnose, or treat any serious complication without unnecessary delay.