I hate to tell you this but I diagnosed myself by symptoms-online. I was desperate to find an answer for my headaches. My pain always started at my neck area. So my docs gave meds for tension headaches. As these didn't help much I was treated for depression. I went to a chiropractor and even massage therapy regularly. (expensive) Again, I didn't feel better. After many med attempts, I went to my computer. I do have a diagnosis now and I'm waiting to see neurosurgery this month. Good luck to you. Don't give up looking for a doc to believe you!!!
I'm very sorry that you had such bad treatment.
I too have chronic daily headache, and migraines (both common and classic).
First, know that there are a lot of treatment options out there for you to get this under control and for you to get your life back! You will need to get a good neurologist in your corner that you feel comfortable asking questions of, because you will probably be going there a lot. Start by finding a new doc!
Also, I think it will be helpful to keep a headache calendar. Most neurologists or headache specialists want this. Track when you get headaches, how severe, what meds you took and if they helped, and if you know what triggered it (hormones, diet, weather change, caffeine, did you skip a meal, not sleep enough, etc). Then, you can also start to avoid your triggers. Note if they come on in the morning, evening, are they there all the time, when to they get worse, etc.
This is helpful, because if you start new meds, that will be noted and you can easily and reliably compare to see how much better you are doing. No guessing.
Certain kinds of antidepressents, especially low-dose tricyclics at bedtime, are used more to treat nerve pain and headache than depression. (If they also elevate mood, bonus). Your doctor may not have been saying that he felt you were depressed instead of headache, he may have been saying that he wanted to try this med to prevent your headache before they start.
I am sorry that your doc didn't explain things to you in more detail. I got entire handouts about headache triggers, lifestyle guidelines, info about my drugs, opportunities to ask questions both about abortives and preventives, and a general overview of the understanding that there are a lot of strategies to try if the first few don't work out. The idea is not to be too aggressive at once -- you don't want to be on meds you don't need. I also was at a headache specialty clinic. You may want to see if there is one near you. They are usually good.
In any case, find a doc you are comfortable with.
Good luck!