Depression and pain disorders are often diagnosed in the same patients. Here we summarize the shared pathophysiology between both disorders and the importance of addressing all symptoms in patients with comorbid pain and depression. We describe anatomical structures that are activated and/or altered in response to both depression and pain – examples include the insular cortex, the prefrontal cortex, the anterior cingulate cortex, the amygdala, and the hippocampus. Both disorders activate common neurocircuitries (e.g. the hypothalamic-pituitary-adrenal axis, limbic and paralimbic structures, ascending and descending pain tracks), common neurochemicals (e.g. monoamines, cytokines, and neurotrophic factors), and are associated with common psychological alterations. One explanation for the interaction and potentiation of the disease burden experienced by patients affected by both pain and depression is provided by the concept of allostasis. In this model, patients accumulate allostatic load through internal and external stressors, which makes them more susceptible to disease. To break this cycle, it is important to treat all symptoms of a patient. Therapeutic approaches that address symptoms of both depression and pain include psychotherapy, exercise, and pharmacotherapy.