Are you taking it in the morning, or at night, or both? BIG difference.
Have you had your Free T4, Free T3, and Reverse T3 levels checked? Sometimes people who--for a plethora of reasons--do not convert thyroid T4 into T3 well. The DHEA sponsors enzyme D1, and so enhances this conversion (and away from enzyme DIII, and therefore Reverse T3 production). Those who are susceptible to anxiety (especially if their SHBG is low/low-normal) may interpret mere changes in physical/emotional status...the old "Future Shock" we started talking about in the mid 1970's.
Also, SOMEONE is sensitive to EVERYTHING there is. That's just the nature of biological systems. First is knowing "what", often before "why", in this business.
I will be releasing a paper just written on DHEA on my professional FB page, in the next few days. Already at my Publicist's, ready to manage/post. It might help you.