I'm having migraines and consulted a neurologist who did a scan and found nothing. He asked me to consult a psychiatrist as it could be from depression. What else could it be?

Migraine . Well, technically migraine headache is a disease of its own, although it might get triggered by different things, it really doesn't always require a trigger, moreover it would not show any pathology on the scan, there are meds to treat as well as prevent it, go for a second opinion.
Headaches. You should see a headache specialist, not a psychiatrist! migraine is a neurological event and is defined as headaches which are intermittent and disabling. They are frequently associated with depression. You can find a specialist at www.Ache.Org.
See a dentist. Migraine headaches have a muscular component to the pain. There is often no neurological issues. A bad bite can cause muscle pain in the muscles of the face, neck, and head. Dentists who focus on TMJ issues may be of some help.
Migraine treatment. Migraine a common condition of severe headaches causing debility plus nausea, vomiting, avoiding lights & noise etc. Diagnosed thru history (the story) not thru mris or tests. Treatment should be directed at decreasing severity & how often attacks occur (cure is unrealistic). Depression should be excluded. & if present, treatment of depression may improve headaches. Migraine meds still needed.
See below. Agree with my colleagues. Also, to add, i would recommend keeping a headache diary (what triggers the migraine, auras, food eaten, degree of pain, and what helped relieve the migraine). Also, you might want to go for a second opinion -- from your post it seems you're frustrated with the current state of things. Good luck!