Distressing dreams confused with reality

Why am I waking up feeling that a dream I just had is my actual life? And that it can take up to a couple of hours to finally feel like it was a dream, even with all the reality checks I perform. For example, my dream usually consist of my husband wanting a divorce, or that we are divorced, or that he has another woman on the side. And I'm devastated and willing to do and go through anything to stay married or keep him happy. This includes allowing him to have the extra-marital affair if it means he'll stay, or begging him to rethink his divorce plans, or even going along with what's happening in the hope that he'll see his folly. Everything else in the dream matches up to my real life, kids, house, jobs, routines etc. It is so real that when I wake up from the dream, I've just dreamed that I have just woken up. It gets to the point that I have to ask my husband what is real and what's not. The dreams are very distressing and I feel all those emotions when I wake as well. Also want to mention that I suffer from depression and anxiety and have chronic insomnia. Can anyone shed some light on what is happening to me?