Comorbid depression and chronic pain are highly prevalent in individuals suffering from physical illness. Here, we critically examine the possibility that inflammation is the common mediator of this comorbidity, and we explore the implications of this hypothesis. Inflammation signals the brain to induce sickness responses that include increased pain and negative affect. This is a typical and adaptive response to acute inflammation. However, chronic inflammation induces a transition from these typical sickness behaviors into depression and chronic pain. Several mechanisms can account for the high comorbidity of pain and depression that stem from the precipitating inflammation in physically ill patients. These mechanisms include direct effects of cytokines on the neuronal environment or indirect effects via downregulation of G protein-coupled receptor kinase 2, activation of the tryptophan-degrading enzyme indoleamine 2,3-dioxygenase that generates neurotropic kynurenine metabolites, increased brain extracellular glutamate, and the switch of GABAergic neurotransmission from inhibition to excitation. Despite the existence of many neuroimmune candidate mechanisms for the co-occurrence of depression and chronic pain, little work has been devoted so far to critically assess their mediating role in these comorbid symptoms. Understanding neuroimmune mechanisms that underlie depression and pain comorbidity may yield effective pharmaceutical targets that can treat both conditions simultaneously beyond traditional antidepressants and analgesics.