You seem to have migraine or tension headache. A detailed history will be required . Ask your doctor about the diagnosis and treatment details. Depressed mood is quite common here. There is a good medicine(cant tell on this forum) which works good in both headache and depression.  Whether your problem is psychological or neurological should nor consern you but If mood changes are there u should see a psychiatrist for sure. If a neurological cause of headache is found you may be referred to a neurologist.

How does your headache affect you to worry you so much. Since how long you are facing this??? If you  are cont8the medicines  I feel once if you consult a psychologist maybe You could identify your actual problem behind this.