A good sleep can cure a lot of things. The first aim in your treatment should be sleep. It may lessen the headache and depression. Headache needs a detailed evaluation. tell about your Suicidal thoughts to your family. Share your feelings. Especially  if you make any suicide plans. Visit a psychiatrist  ASAP. You need antidepressants.

If there is pervasive sadness of mood lasting for more than 2 weeks , if you are not able to enjoy previously pleasurable activities (hobbies, watching TV, outings) , Sleep & apetite disturbances, difficulty concentrating, indecisiveness, suicidal thoughts, low self-confidence & if it is affecting your social & work life, then you need to get treated for the same. For mild- moderate depression, psychotherapy can be tried but for moderate to severe depression with suicidal thoughts, medication may be needed. You may need to consult a psychiatrist.

Hi..... Relaxation may help ease the pain of a headache. Relaxation techniques may include progressive muscle relaxation, meditation or yoga..... Get enough sleep, but don't oversleep. Get an adequate amount of sleep each night. It's best to go to bed and wake up at regular times, as well.... Rest and relax. If possible, rest in a dark, quiet room when you feel a headache coming on..... Consult Psychiatrist....