Migraines and depression and anxiety

I know that anxiety and migraine go hand in hand and we don’t really know which one causes the other. It’s like the chicken and the egg, what comes first. I’ve been taking my migraine meds and they were working great for a while then I had a pretty bad two week episode and my anxiety has gone through the roof. I felt anxious just before the full blown episode too so I really don’t know what contributed to what or why. I have Xanax for a short term solution, but want to try something else. I took Cymbalta for a while to try and help the pain and anxiety but it did nothing, Dr has now prescribed Zoloft. Do you guys take anything for anxiety? What do you take? Was it helpful? Thanks so much.