According to the data you provided (feeling anxiety, feeling worse when taking sugar, paxil-generic name paroxetine did not help, stopped taking paxil, headaches), you might have experienced anxiety disorder.
Anxiety disorder is a mental disorder in which unpleasant feelings of uneasiness, fear or worry might be felt. Symptoms that might accompany the feelings include: chest pain, heart palpitations, headaches, stomach aches and nausea. This condition might be closely related to clinical depression. Perhaps the doctor recognized the depressive disorder and gave you paxil, which is an antidepressant.
You might want to visit a psychiatrist for observation and evaluation. The doctor might decide that the anxiety component of your condition is dominant and that you need other medications. It might take time to find the right therapy for you, but do not give up.
Consult about the possible side-effects, too. Many side-effects disappear after a short period (most often two weeks after you start taking the medications), and all you have to do is to keep taking the medications as recommended instead of quitting.
Meanwhile, you might want to visit a neurologist for the headache to exclude other conditions that are not related to anxiety or depression.