It might not be your depression causing this head pressure, though it might be -- it could be you're sleeping in a position your neck doesn't like. It could be allergies. It could be vascular, such as migraines. So while it could be depression or anxiety, depression doesn't cause everything we feel -- depressed people get all the same problems everyone else does, it's just harder to figure out if it's from the depression or from something anyone might get. But to me, as someone with neck problems, that's what happens to me when I sleep, so you might try a different position or a different pillow and see if it doesn't help.
Depression is so complex that it affects everyone differently and can hit so hard that it is difficult for the person with depression to even figure out how they feel.
There could be numerous reasons why you feel worse, or at least think you feel worse.