Python, Flask: How to set response header for all responses

Set the header in a @app.after_request() hook, at which point you have a response object to set the header on:

@app.after_request
def apply_caching(response):
    response.headers["X-Frame-Options"] = "SAMEORIGIN"
    return response

The flask.request context is still available when this hook runs, so you can still vary the response based on the request at this time.