The following instructions require that you’ve already installed the extension “REST Client” from within VSCode.
Then (from within VSCode), if you’re using macOS, go into the “command palette” menu option — (from the menu) click View then Command Palette or (the shortcut) Shift+Command+P. On a Windows platform, these instructions will be similar but likely not exact.
You’ll now see a drop-down menu. Locate and click “Open Settings (JSON).”
Once inside the file, add the following inside the brackets { <below statement without greater-than and less-than symbols> }
"rest-client.previewOption": "exchange"
When you issue a request from within an *.http file, you’ll now see both request and response headers.
SOURCE: @Huachao via Github