The phrase doesn't mean the head is physically thick, but refers to being mentally inflexible. No matter the evidence, it won't convince your thick head.
Pro Tip 2/3
Negative Connotation
Using 'your thick head' implies criticism and can sound rude or insulting. He finally admitted he was wrong, after I got through to his thick head.
Pro Tip 3/3
Colloquial Usage
The phrase is informal and best used in casual conversations rather than formal settings. She keeps missing the point with her thick head.