Acute pain induces depressed mood, and chronic pain is known to cause depression. Depression, meanwhile, can also adversely affect pain behaviors ranging from symptomology to treatment response. Pain and depression independently induce long-term plasticity in the central nervous system (CNS). Comorbid conditions, however, have distinct patterns of neural activation. We performed a review of the changes in neural circuitry and molecular signaling pathways that may underlie this complex relationship between pain and depression. We also discussed some of the current and future therapies that are based on this understanding of the CNS plasticity that occurs with pain and depression.