Any suggestions on how to deal with this issue? I am at my wits end and I am not sure what to do. Should I go to HR (don't really feel comfortable going to my department head)?

I have been with the institution for 7 years and ever since this individual has become my immediate supervisor I have been experiencing an elevated level of where are you at and what are you doing questioning. Not sure what to do. I have been really depressed in the last few weeks. I can't afford to lose my job but I am not sure what course to take at this point. Any help would be greatly appreciated.