We examined the use of benzodiazepines (BZD), hypnotics, and anxiolytics and their associations with chronic pain diseases (CPD) in patients with major depressive disorder (MDD). A retrospective analysis of 153,913 MDD patients (18-64 years) in a large administrative insured claims database during the year 2006 was performed. Results showed that during the study year, 33.1% of the patients had been prescribed BZD; 16.9%, hypnotics; and 6.1%, anxiolytics. The use of BZD and hypnotics increased with age. Patients with CPD were more likely than those without CPD to use BZD (41.2% vs. 27.0%, p < 0.001), hypnotics (21.7% vs. 13.3%, p < 0.001), and anxiolytics (7.8% vs. 4.8%, p < 0.01). After adjustment for demographics and comorbidities, CPD was still significantly associated with increased use of BZD (OR = 1.62), hypnotics (OR = 1.49), and anxiolytics (OR = 1.51). Further research is needed to examine the long-term benefits and risks of BZD and hypnotics in the treatment of MDD and CPD.