Is having headaches depression?

Not necessarily: Headaches can have a number of origins, depression, anxiety, stress, insomnia, medication side effect, and a number of important medical explanations that require further assessment by your general doctor. e.g. metabolic imbalance (low sodium), high blood pressure, high blood sugar, etc... the quality of headache, site of pain, precipitants, etc... need to be explored for a better answer.

See below: Headaches can have different causes. Please address it with your primary and possibly a headache specialist to ascertain diagnosis