I can understand your concern.
Migraine is a diagnosis of exclusion. What I mean by that is, all other causes of such chronic headache should be ruled out before labeling it as migraine. Since you have not consulted any doctor i'm assuming it's your own diagnosis and not a diagnosis made by a physician.
I wouldn't suggest you anything based on your own diagnosis therefore kindly consult a psychiatrist and let him decide wheather you have depression and migraine or not. And then he will treat what ever you have.
Dr. Anil Kumar Jain.