Patients with major depression often report pain. In this article, we review the current literature regarding the prevalence and consequences, as well as the pathophysiology, of unexplained painful physical symptoms (UPPS) in patients with major depressive disorder (MDD). UPPS are experienced by approximately two-thirds of depressed patients. The presence of UPPS makes a correct diagnosis of depression more difficult. Moreover, UPPS are a predictor of a poor response to treatment and a more chronic course of depression. Pain, in the course of depression, also has a negative impact on functioning and quality of life. Frequent comorbidity of depression and UPPS has inspired the formulation of an hypothesis regarding a shared neurobiological mechanism of both conditions. Evidence from neuroimaging studies has shown that frontal-limbic dysfunction in depression may explain abnormal pain processing, leading to the presence of UPPS. Increased levels of proinflamatory cytokines and substance P in patients with MDD may also clarify the pathophysiology of UPPS. Finally, dysfunction of the descending serotonergic and noradrenergic pathways that normally suppress ascending sensations has been proposed as a core mechanism of UPPS. Psychological factors such as catastrophizing also play a role in both depression and chronic pain. Therefore, pharmacological treatment and/or cognitive therapy are recommended in the treatment of depression with UPPS. Some data suggest that serotonin and noradrenaline reuptake inhibitors (SNRIs) are more effective than selective serotonin reuptake inhibitors (SSRIs) in the alleviation of depression and UPPS. However, the pooled analysis of eight randomised clinical trials showed similar efficacy of duloxetine (an SNRI) and paroxetine (an SSRI) in reducing UPPS in depression. Further integrative studies examining genetic factors (e.g. polymorphisms of genes for interleukins, serotonin transporter and receptors), molecular factors (e.g. cytokines, substance P) and neuroimaging findings (e.g. functional studies during painful stimulation) might provide further explanation of the pathophysiology of UPPS in MDD and therefore facilitate the development of more effective methods of treatment.