Hello dear friend, I understand your concerns.Lack of sleep for 2-3 weeks with depression is a strong enough precipitant to cause TTH(Tension type headache),which appears to be the likely cause of your headache.TTH is usually diffuse,bilateral(but can be unilateral,localised sometimes),aggravates with stress and improves on distraction(like watching a movie,or chatting with friends),subjectively improves on pressing the head.Other differential here can be migraine,which is usually episodic,unilateral,pulsatile,accompany nausea,aggravates on exposure to bright light or sound (photophobia or phonophobia respectively)and can be associated with visual aura like flashing zig-zag lights.Migraine is associated with trigger factors like stress,sunight,tea,coffee,cheese and several others ( patient needs to identify his trigger himself).Both these headache types can be pulsatile(although migraine more commonly is).What really differentiates the two is that visual aura,nausea,photophobia and phonophobia are typically associated with migraine.They are not there in your case,hence TTH more likely.Please visit a neurologist as he will take an elaborate history to make your diagnosis.I hope it helps you.