Pain isn't all in your head, and neither is it all in your body. Pain and depression can occur at the same time, and a study found that depression affects responses in the brain that affect the perception of pain.

"When the healthy people were made sad by negative thoughts and depressing music, we found that their brains processed pain more emotionally, which lead to them finding the pain more unpleasant," Oxford University's Dr. Chantal Berna said in a news release reported by HealthDay.com.

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