One of the methods you can use to install Kernel Headers is to use the Debian package manager with Kali Linux repositories. You may require to run a full system upgrade before installing the Kernel Headers successfully. Once completed, reboot your Kali Linux installation, and install the headers.

What are linux-headers?

linux-headers is a package providing the Linux kernel headers. These are part of the kernel, although they are shipped separately (further reasoning is available: [1]). The headers act as an interface between internal kernel components and also between userspace and the kernel.

Where are linux kernel headers?

The kernel headers are stored in /usr/src and usually appear as a directory reflecting the version of the currently running kernel. You can check that (currently running kernel version) by typing uname -r.