One of the nerves that leads to your toes becomes irritated. That's usually caused by pressure that's due to a foot problem like bunions, hammertoes, or too-tight shoes. You can also get it if you play sports where your feet pound the ground, such as running.
Wearing high-heels has also been linked to Morton's neuroma. You can get relief from symptoms if you switch to shoes with lower heels and more room for your toes.