Are you doing a PHP redirect, similar to this?
If so, what response were you hoping for? 404? 301?
In any case, try adding this before the redirect line.
For a redirect:
header("HTTP/1.1 301 Moved Permanently");
header("HTTP/1.1 404 Not Found");
If you're not using PHP, or you meant something different, maybe try adding more details about the problem you're having and someone should be able to help.
If you're by any chance using an older version of Wordpress, and that's returning the 200 on all requests, then upgrading would be a good idea.
Also, if you're trying to 301 all requests, rather than using a 404 for requests that really aren't there, someone like Google might think you're being sneaky and hold it against you.
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