Hey Shady XV,
Headaches of any sort are the quickest route to depression. My Cluster Headache attacks have been daily since Boxing Day so I know how it is. I cannot help you on migraines, the meds I take for Clusters are totally different but you are doing the right thing by getting your Dr to change your Depression meds.
They will take time to take full effect, though. Try to keep positive even though it's hard - you have the best medicine for Depression there - playing with your PitBulls. Playing with your dogs releases endorphins which are SO much better for you than meds. You can also come here for support across the Forums.

Dave.