They have found that depression tends to be correlated with anxiety in the sense that people who tend to get depressed tend to get anxious as well, and people who tend to get anxious tend to get depressed as well.

Do you wake up feeling scared, or do you wake up then get to thinking and feel scared as a result of the thinking?

I'm wondering if bad dreams are waking you up, or if you are waking up then getting to worrying...

Relaxation exercises (where you focus on your breathing or something instead of focusing on your thoughts) could help you stay away from the head circles and get back to sleep...