Headaches are complicated and can have many causes. However, I had six or seven per week for over 10 years years and once I started taking anxiety / depression medication the headaches went away. Sounds like a visit to a well respected psychiatrist would be a very wise next stop. General practitioners are not the best choose for anxiety / depression disorders. By the way, people with anxiety / depression are constantly in the self diagnosing modes. Don't be afraid to take meds if they will alleviate daily suffering.
Could be JUST anxiety....bit maybe thats enough....anxiety/depression is a very complex condition and it can cause other symptoms to arise....try to quiet the body with some medication and I am a Christian who believes its always important to pray as well. Also make sure you have trusted loved ones who have your back. You will need help but you WILL overcome!