Coexistence of depression and pain is frequently observed in clinical practice. It has been estimated that approximately 50% of patients report pain which is usually medically unexplainable during depressive episodes. On that account, these symptoms are referred to as unexplained painful physical symptoms – UPPS. The perception of pain is based on the interaction of several brain structures and some of them are also known to be involved in the regulation of mood. Descending serotoninergic and noradrenergic neurons play an important role in the modulation of nociceptive signals. Tricyclic antidepressants (TCA), selective serotonin reuptake inhibitors (SSRI), and selective serotonin and noradrenaline inhibitors (SNRI), besides their anti-depressive efficacy, also have a beneficial effect on chronic pain of different aetiology. Clinical studies have shown that the SNRI duloxetine exerted a better effect on UPPS in patients with major depression than placebo. However, a head-to-head comparison of duloxetine and paroxetine as well escitalopram and nortriptyline demonstrated a similar effect on UPPS. Further studies are necessary for a better understanding of this important issue.