Does anyone feel dizzy always when they have stress or depression or anxiety like that?

It could make you dizzy .They can effect your breathing which will make you dizzy. Next time it happens notice your breathing...is it fast..are you taking deep breaths?
Also when you feel dizzy try breathing into a small paper bag, see if this helps.
If the dizziness continues get a second opinion

Just answering from a personal and non-medical standpoint I can say that this is a fairly common symptom of what is currently called panic and/or anxiety "attacks". I've always suspected it is breathing related but you don't want to assume that. You did say you have been medically examined with no problems in your tests so to me it sounds like you have joined the ranks of many in these current times who deal with at times disabling anxiety. I would continue to pursue an answer to your problem for there are those who have found resolution through various methods such as cognitive therapy, relaxation music, breathing excercises, enjoyable hobbies, medication, massage and a long list of other treatments. I do hope you resolve this for it can be a form of control in your life that keeps you from much you would enjoy.

when i have anxiety my heart palpitates, i have trouble breathing, and i shake my legs.

Get a 2nd opinion about your health.