Yes. Depression can cause headaches.One of the most common causes of headaches is emotional stress or depression. Feelings of anger or anxiety can cause muscular tension in the face and scalp, leading to a full-blown tension headache.Repressed emotions also tend to trigger more headaches than expressed anger or anxiety.Other triggers for headaches include glare, poor lighting conditions, medication interactions, eyestrain and physical exertion. Sinus troubles are not responsible for a significant number of headaches, even though the sinus cavities themselves are very close to the neurotransmitters that may be the culprit. It can be very difficult to self-diagnose headaches, so a trip to a physician.