Yes this type of symptoms can occur during anxiety episodes. Also some medications can lower blood pressure or dizziness as a side effect which can make a person feel light headed. Think if it occurs in reaction to anything such as stress or if it occurs independently of that. The results of an MRI should be of help but it would be wortwhile for a neurologist to do full diagnostic testing and an exam. They could then speak to your psychiatrist about the appropriate follow up.
I too have unusual sensations in my "brain" from depression that seem to clear out when I am hypomanic or manic. These sensations are really hard for me to describe, yet I know they prevent me from thinking clearly and solving problems effectively. I've never really thought of them as being "lightheaded" sensations, however I can see them that way. I've felt more disoriented, confused, dizzy at times, and kind of like being in a tunnel all of the time. The more deeply depressed I am the worse it gets. Or is it the worse it gets the more deeply depressed I am? :-}
Other physical issues I've had are lethargy, physical weakness, increased and decreased appetite, and insomnia.
Depression can definitely affect a person physically and definitely cause weird "head" sensations.
Anxiety is a whole different animal for me than depression. I do feel lightheaded during an anxiety attack and especially during a panic attack. Then it feels like the top of my head has come off and my head feels really light.
Often it is difficult for me to tell when my MDD or a panic attack has crossed the line into a mixed state. I am becoming more aware of MDD, anxiety and bipolar elements as time goes on. Unfortunately it is all experiential.
I too get the lightheadedness. I saw an ear, nose, throat doctor and he told me to avoid caffeine and stay hydrated. Are you drinking enough water?
Also, I had to recently stop my birth control pill cuz I was getting too dizzy from it. Have you had an MRI done to check if there are any inner ear issues?