First off yes, headaches are a part of anxiety...because when your over anxious or stressed alot of people hold there tension in there head, neck, shoulders etc. Example, if you have tight, tense upper shoulders....it can radiate up and make the.back of your head hurt.
of headaches can be causes by other BENIGN things, sinuses, migraines, dehydration, stress, needing glasses etc etc..... I will say that I was in your position about 6 months ago. I had terrible headaches for 2 months straight. EVERYDAY. I was in such panic mode that I saw my gp, not one, but two neurologists, and two ER drs. One Dr did a ct scan simply to ease my mind and gave me some migraine meds. And guess what? After I saw a clean ct scan and knew that anything horrible (tumors, bleeds, aneurysms etc), my headaches subsided.
of course I get the occasional migraine or tension headache here and there, but I dont panic about it anymore because I know ill end up in the same anxious mess that I was in 6 months ago.