Empirical results from epidemiological studies on pain–depression comorbidity in primary care and population samples have shown that: (a) pain is as strongly associated with anxiety as with depressive disorders; (b) characteristics that most strongly predict depression are diffuseness of pain and the extent to which pain interferes with activities; (c) certain psychological symptoms (low energy, disturbed sleep, worry) are prominent among pain patients, while others (guilt, loneliness) are not; (d) depression and pain dysfunction are evident early in the natural history of pain, but dysfunction and distress are often transient; and (e) among initially dysfunctional pain patients whose dysfunction is chronic, depression levels do not improve but neither do they increase over time with chronicity alone. These results seem consistent with these mechanisms of pain–depression comorbidity; (1) a trait of susceptibility to both dysphoric physical symptoms (including pain) and psychological symptoms (including depression), and a state of somatosensory amplification in which psychological distress amplifies dysphoric physical sensations (including pain); (2) psychological illness and behavioural dysfunction being interrelated features of a maladaptive response to pain evident early in the natural history of the condition, and often resolving during an early recovery phase; (3) pain constituting a significant physical and psychological stressor that may induce or exacerbate psychological distress. Thus, pain and psychological illness should be viewed as having reciprocal psychological and behavioural effects involving both processes of illness expression and adaption, as well as pain having specific effects on emotional state and behavioural function.