All perfect praise be to Allaah, The Lord of the Worlds. I testify that there is none worthy of worship except Allaah, and that Muhammad is His slave and Messenger. We ask Allaah to exalt his mention as well as that of his family and all his companions.
First we ask Allaah the All-Mighty, Lord of the Magnificent Throne to cure you from this disease and rid you from the anxiety, depression and sorrow that you are going through, and compensate you with good and well-being. As regards treating headache, what has been reported from the Prophet when the revelation was being sent down to him and he had a headache is that he applied henna on his head. [Ibn As-Sinni and Abu Nu'aym] So you can act according to this narration even though it is considered weak by As-Sayooti. In addition to this, Imaam Al-Bukhari reported that when the Prophet was in his death sickness he shouted: "O, my head! and he used to tie his head when he was sick." Abu Daawood and Al-Bukhari reported respectively in their Sunnah and Taareekh, that anyone who suffers a headache, the Prophet advise him to do Hijaamah (cupping). As far as we know there is no specific verse or verses that cure headaches and depression, but the Qur'an in general is a cure as Allaah says (which means): {And We sent down of the Qur'an that which is a healing and a mercy to those who believe.}[17:82]. The Prophet also said: "The best cure is the Qur'an." [Ibn Maajah].
Finally, it should be noted that you should not exhaust yourself to an extent that leads you to depression unless you are obliged to carry out this type of work as an urgent necessity that could not be fulfilled otherwise. As regards the ruling about residing in a non-Muslim country, please refer to Fataawa: 84329 and 86405.
Allaah knows best.