This is a great question. It is very important that you make an appointment with your doctors
">primary care doctor and/or your psychiatrist
to discuss your symptoms and have a full history and physical. Depending on what your doctor discovers during your visit, he or she may wish to order further studies, such as imaging (CT or MRI of your head) to help determine the cause of your symptoms. Sleep disorders, such as very bad dreams, and physical symptoms, such as headaches or abdominal complaints, unfortunately are very commonly associated with depression and anxiety. Therefore, it is most important to make sure that these conditions are being treated adequately. It is possible that you need a change in your medication or an increase in therapy if your doctors feel that this is the reason for your symptoms. However, headaches and sleep problems can be caused by many other things so it is important to have a full evaluation to rule out migraines, sinus issues, thyroid problems, etc which would all require much different treatment than that of depression and anxiety. Again, it sounds as though your symptoms are fairly severe and impacting the quality of your life, so it is very important that you seek medical care as soon as possible.