Effexor and Effexor SR are approved to treat depression, social anxiety disorder, panic disorder, and generalized anxiety disorder. They have also been used off-label to treat migraines, diabetic neuropathy, and hot flashes.
According to the official Effexor XR website, common side effects may include nausea, dizziness, sleepiness, sweating, dry mouth, gas, abnormal vision, nervousness, insomnia, loss of appetite, constipation, confusion, agitation, tremors, yawning, palpitations, and increased cholesterol.
Since both come from the same family of SSRI's, it's difficult to determine if Effexor XR would be a better medication for you.
Sometimes it takes a long period of time to determine what medication(s) work best in a particular situation.
Consult with your healthcare provider, explain your concerns and see what they can recommend.
Sounds like you are still experiencing the symptoms of depression and perhaps not symptoms of your meds. How long have you been taking it? are you at the theraputic dosage for it? have you discussed these problems with your doctor?