I highly recommend you see a psychiatrist. They are experts in psychopharmaceuticals, family doctors are just not educated to handle med augmentations and proper diagnoses.
I found with both Effexor and Cymbalta gave me wicked headaches at first and when you are adjusting to any med, there is a possibility of sleepiness and temporary odd things. Once your brain adjusts 4-6 weeks, most people see a lot of improvement. You've had a lot of med switches, so I would say it's time to see an expert.
Do you have a confirmed diagnosis yet? Meds alone aren't going to completely eradicate depression, you have to do some work as well right? Do you have a therapist or are you in a support group? You might want to ask your doctor about that. Most importantly, get a psychdoc on board.
Has anyone else had this same problem? Is it common? Has it gone away or was there anything you did or took to assist with it?
It takes a while for the side effects to go away. As your body adjusts the tiredness will fade. Contact your doctor on the headaches since starting cymbalta tho. Could be a problem side effect.