What is the safest/mildest route to go with antidepressants? what is the difference between different antidepressants? need one for anxiety/migraine

Safest is therapy: Prescription strategies IMHO are not the best choice for mild depression or anxiety. CBT therapy is - and the therapist can help you decide if any Rx is needed for a brief time. Meditation, exercise, relaxation skills, accupuncture/pressure and corrections of any out-of-balance life-style choices are my suggestions for a 1st trial. No Rx's are mild - even low doses can have side EFX. Best wishes.