Thats a great question and a problem that just about everyone has experienced! The cause of your smoothie-induced headache, commonly known as brain-freeze, and scientifically as sphenopalatine ganglioneuralgia (meaning "nerve pain of the sphenopalatine ganglion"), is a nerve response to something cold touching the roof (or palate) of your mouth. When the nerve is stimulated suddenly with cold, it drives a rapid narrowing followed by a widening (dilation) and swelling of the capillaries (blood vessels) in the sinuses. This is analogous to when your face turns pink or flushed on a cold day, but more painful because the dilating blood vessels above your palate are detected by nearby pain receptors that in turn send signals of pain to the brain.

What is happening is a temperature imbalance between your sinuses and the rest of your head. I suspect it has something to do with thermal expansion of materials, but I'm not sure. Either way, it has to do with your sinuses.