Hi there!. New to this site, reading your post i understood you completely.
I suffer from migraines and it's be about 30 years now.
Finally I have them kind of controlled thanks to Ajovy, Nurtec and sumatriptan (with aleve) if needed but the anxiety of having one coming up while working, exercising or even trying to have a romantic night with hubby IS REAL. Anyone with migraines goes through that (I think?) and I'm always thinking when is a big one is approaching. On top of that my stress and anxiety make it worse. Knowing what triggers it is very important. Also make sure you don't feel signs of anxiety mixed with depression as sometimes they are often related to that.
Having a good team of doctors, trying out and selecting the most medication is also important but think on trying other therapies (massage, acupuncture, meditation, aromatherapy, organic teas, etc).
I hope you feel better!