Many studies have shown a link between headaches and depression. That isn't to say that those with depression will suffer from headaches, or those suffering from headaches will be depressed. The link is usually down to anxiety caused by worrying about the onset of a headache, or suffering from many headaches. When your head is trapped in the vice-like grip of a headache, it is like no other pain on earth. The memory of that pain and how it stopped you from functioning properly can be all it takes to send you spiraling into worry, and ultimately a depressive state. You may also start to feel depressed because over-the-counter pain relief no longer works, or you feel like you are all alone.