The objective of this study was to assess the effect of clinical depression on pain self-management practices. We employed a cross-sectional analysis of baseline data from the Stepped Care for Affective disorders and Musculoskeletal Pain (SCAMP) study. Participants included 250 patients with pain and comorbid depression and 250 patients with pain only and were enrolled from urban university and VA primary care clinics. Musculoskeletal pain was defined as low back, hip or knee pain present >or=3 months and with at least a moderate, Brief Pain Inventory severity score >or=5. Depression was defined as a PHQ-9 score >or=10. We used multiple logistic and Poisson regression to assess the relationship between individual and combined effects of depression and pain severity on two core pain self-management skills: exercise duration and cognitive strategies. Depressed patients exercised less per week than did nondepressed patients but showed a trend towards more frequent use of cognitive strategies. On multivariable analysis, depression severity substantially decreased the use of exercise as a pain self-management strategy. In contrast, depression and pain severity interacted to increase the use of cognitive strategies. Depression and pain severity have differential effects on self-management practices. Understanding the differences between preferential strategies of pain patients with and without depression may be useful in tailoring pain self-management programs.