When you defeat all big bosses on hard mode with The Lost you are supposed to get the Godhead achievement. However, I did not. Why?
Without further informations about your current situation, I'll try to answer as thoroughly as possible with the occurrences that could prevent you from getting the Godhead achievement (I'll put in even those that don't apply to you for sake of completeness):
- Seeded runs: Whenever you input a seed you cannot get achievements in that run.
- Mods: using third party mods, even those that simply alter the monster sprites and have no interaction with gameplay, shuts the achievements down.
- Not playing in Hard Mode: this can be the most frustrating, since you can get to the end of a run and receive no achievement without noticing.
- Missing some of the bosses: to get Godhead you have to beat all of the following in hard mode: Mom's Heart, Isaac, Satan, ??? (a.k.a. the Blue Baby), The Lamb and the Boss Rush.
- Achievement bug: depending on your gaming platform and game version, you could have a bugged game. If somehow your game version is before v1.02, Godhead won't unlock. If this is the case, you should update your game and, sadly, you may have to re-unlock it.
These are, as far as I know, the only reasons why you cannot get Godhead. If these don't apply to you, please try to expand your question with further informations about your gaming platform, game version (pay attention that after v1.05 the version isn't showing anymore) and possible external interactions with your gaming experience.