The present review summarizes the evidence on epidemiology, etiology, and treatment of comorbid mental disorders in patients with musculoskeletal diseases. Epidemiological studies highlight a significantly increased risk of comorbid mental disorders in patients with musculoskeletal diseases compared to patients without musculoskeletal diseases and physically healthy persons. With regard to the question of the causal link between these comorbidities, specific musculoskeletal disease-mental disorder combinations show specific pathogenetic pathways. Using the example of arthritis-depression comorbidity, a causality model is presented. This model describes depression as following arthritis and, in turn, aggravating the course of arthritis. Treatment studies emphasize the effectiveness of both psychotherapeutic and psychopharmacological interventions for the treatment of patients with musculoskeletal diseases and comorbid mental disorders. In particular, collaborative care interventions are promising approaches to improve the routine care of comorbid patients.