I have headache like pressure in the sides of my head ache my doctor think its from depressed but i don't think it is sometimes i feel a little dizzy?

See a specialist : I recommend you see a headache specialist. This would have to be a neurologist who specializes in headaches management. There are well over 2, 000 causes of headaches. Even if you are depressed, this does not sound like a tension headaches that one would expect in someone who is depressed. People with depression or anxiety usually complain of a headache like a band of tension across the forehead.