The village is bordered to its west by Mickleham, Surrey and Leatherhead, to the north by Ashtead and Langley Vale, Walton-on-the-Hill to the east and to its south by Box Hill. It is just outside the M25 motorway encircling London.
The Romans had an influence in the surrounds, with the Roman Road to Noviomagus Reginorum, called by the Saxons 'Stane Street (Chichester)' a few hundred metres from the western and northern boundaries and a considerable Roman presence in the neighbouring village of Walton-on-the-Hill with its scheduled ancient monument villa and other finds
Headley's land lay in the Saxons' Copthorne hundred. As Saxon records are scant and the church and population was smaller, no church in Headley was known during this period; the first records of a church are after the Norman Conquest. However this church could have been built on or adjacent to the site of a Saxon church. In any event next to the church are the remains of a 15th-century church, placed over the grave of the Revd Ferdinand Faithful.
Headley appears in Domesday Book of 1086 as the manor of Hallega. It was held by Radulfus (Ralph) de Felgeres. Its domesday assets were: 2 hides; 6 ploughs, woodland worth 15 hogs. It rendered £5 per year to its overlords. The survey records that the manor was held before the conquest by Countess Goda (the mother of King Harold) and it had been granted to her by King Edward the Confessor. Halle(g)a means a clearing in the heather, which is appropriate considering the village's position on a large patch of acidic topsoil of the generally alkaline North Downs.
The church, which worships St Mary as its dedication, was built in 1855 next to old remains, designed by Anthony Salvin with an added tower of 1859 by G. E. Street. It is built from relatively local flint rubble and is in the common Grade II category of listing.
Walter Cunliffe, later 1st Baron Cunliffe and the Governor of the Bank of England, was given the original farmhouse estate, formerly the main manor, and its remaining , Headley Court, in 1880 by his father on the condition that he would make a career in banking rather than become a farmer. He redeveloped it in 1898. The family fortune had been made by Walter's grandfather, James Cunliffe, with his development of the North Eastern Railway (UK).