Following is the code that I'm using:
pHeaderView->setMovable(false);
pHeaderView->setClickable(true);
pHeaderView->setDefaultAlignment(Qt::AlignCenter);
pHeaderView->setTextElideMode(Qt::ElideRight);
tableView->setHorizontalHeader(pHeaderView);
tableView->setModel(model);
tableView->setCurrentIndex(model->index(0, 1));
tableView->selectionModel()->select(model->index(0, 1), QItemSelectionModel::Select);
On removing the QHeaderView, I'm able to set the focus on the QTableView I want to set the header as well as set the keyboard focus on the QTableView.