This is an idiomatic expression meaning 'beyond my understanding <of something>'.
If someone communicates an idea to you and you understand it, then you took it into your brain, into your head. If it is beyond your comprehension then it is said to go 'over your head' (rather than into it and be understood).
I remember a scene in "Friends" where Rachel passes her hand quickly over the top of her head and says "whoosh". She was indicating that what had just been said was beyond her ability to understand - and had therefore bypassed her comprehension.