Pain disorders and psychiatric illness are strongly comorbid, particularly in the context of Major Depressive Disorder (MDD). While these disorders account for a significant amount of global disability, the mechanisms of their overlap remain unclear. Understanding these mechanisms is of vital importance to developing prevention strategies and interventions that target both disorders. Of note, brain reward processing may be relevant to explaining how the comorbidity arises, given pain disorders and MDD can result in maladaptive reward responsivity that limits reward learning, appetitive approach behaviours and consummatory response. In this review, we discuss this research and explore the possibility of reward processing deficits as a common diathesis to explain the manifestation of pain disorders and MDD. Specifically, we hypothesize that contextual physical or psychological events (e.g. surgery, divorce) in the presence of a reward impairment diathesis worsens symptoms and results in a negative feedback loop that increases the chronicity and probability of developing the other disorder. We also highlight the implications for treatment and provide a framework for future research.