It's very frustrating indeed, I hear you.

I also have depression and it's awful. My headaches can be weird, not always the same and sometimes, actually quite often, I get this weird "moving" feeling in my head, hard to describe, anyway was told they are migraines and was given Topamax which isn't helping yet.

I'm seeing an neurologist and he's running some tests, not sure if you're seeing one.

Hope you feel better soon.