Headley hit an RBI single and a sacrifice fly.
Venable had two hits and his homer started the scoring with one out in the bottom of the second.
Nick Hundley had two hits and one RBI.
Edgar Gonzalez hit an RBI single, while Drew Macias added two hits for the Padres, who have won four of five.
The winner was reliever Adam Russell (2-0).
Garrett Atkins led Colorado with a two-run, fourth-inning triple.
Ryan Spilborghs had one RBI, while Troy Tulowitzki had two of the six hits for the Rockies, who have lost two straight following an eight-game winning streak.
Losing pitcher Jason Marquis (15-11) gave up five runs and eight hits in 5 2/3 innings.