The idea that pain can lead to feelings of frustration, worry, anxiety and depression seems obvious, particularly if it is of a chronic nature. However, there is also evidence for the reverse causal relationship in which negative mood and emotion can lead to pain or exacerbate it. Here, we review findings from studies on the modulation of pain by experimentally induced mood changes and clinical mood disorders. We discuss possible neural mechanisms underlying this modulatory influence focusing on the periaqueductal grey (PAG), amygdala, anterior cingulate cortex (ACC) and anterior insula as key players in both, pain and affective processing.