Since the 'include-headers' functionality doesn't seem to be build-in yet, and most "solutions" here need to type the columns names manually, and/or don't even take joins into account, I'd recommand to get around the problem.
The best alternative I found so far is using a decent tool (I use HeidiSQL).
Put your request, select the grid, just right click and export to a file. It got all necessary options for a clean export, ans should handle most needs.
In the same idea, user3037511's approach works fine, and can be automated easily.
Just launch your request with some command line to get your headers. You may get the data with a SELECT INTO OUTFILE... or by running your query without the limit, yours to choose.
Note that output redirect to a file works like a charm on both Linux AND Windows.
This makes me want to highlight that 80% of the time, when I want to use SELECT FROM INFILE or SELECT INTO OUTFILE, I end-up using something else due to some limitations (here, the absence of a 'headers options', on an AWS-RDS, the missing rights, and so on.)
Hence, I don't exactly answer to the op's question... but it should answer his needs :)
EDIT : and to actually answer his question : no
As of 2017-09-07, you just can't include headers if you stick with the SELECT INTO OUTFILE command :|