Anxiety can certainly bring on the headaches, fuzzy feelings, weird sensations such as heavyness, ect...
Take a look at this link, under head symptoms and see if you find what you are experiencing.
http://www.anxietycentre.com/anxiety-symptoms.shtml
Try some relaxation exercises such as PMR (Resources) and see if it helps.
Also, you described it at first as a 'dry' feeling...could you be dehydrated? This can also cause headaches.
Feel better!
S.C.