Raised by his father in Pakistan as a devout Muslim, Headley arrived in Philadelphia to live with his American mother, a former socialite who ran a bar called the Khyber Pass.
He has a traditional Pakistani wife, who lives with their children in Chicago, but also an American girlfriend - a makeup artist in New York, according to the New York Times.
He alternates between the name he adopted in the United States, David Headley, and the Urdu one he was given at birth, Daood Gilani depending on the circumstances, his relatives say.
Even his eyes, one brown, the other green, hint at roots in two places.
Headley, an American citizen, is accused of being involved in the Mumbai terror attacks last year and the lead operative in a loose-knit group of militants plotting revenge against a Danish newspaper that published cartoons of the Prophet Muhammad.
The indictment against him suggests that Headley felt pulled between two cultures and ultimately gravitated toward an extremist Islamic one.
"Some of us are saying that 'Terrorism' is the weapon of the cowardly. I will say that you may call it barbaric or immoral or cruel, but never cowardly," Headley wrote in an e-mail message to his high school classmates last February.
He added, "Courage is, by and large, exclusive to the Muslim nation."