The aim of this study was to evaluate the relationship between painful physical symptoms (PPS) and outcomes in major depressive disorder (MDD). Post-hoc analysis of two identically designed 8-week trials compared the efficacy of 60 mg/day duloxetine (N=523) with that of placebo (N=532) in treating PPS associated with MDD. The Montgomery–Åsberg Depression Rating Scale (MADRS) total score, the Brief Pain Inventory (BPI) average pain score, and the Sheehan Disability Scale global functional impairment score assessed depression symptoms, pain, and functioning, respectively. Remission was defined as a MADRS score of 10 or less, and the BPI response subgroup was defined as a 50% or greater reduction from baseline. Path analyses assessed relationships among variables. Duloxetine-treated patients who had a 50% or greater reduction in BPI score at endpoint had higher rates of remission. Path analysis indicated that 16% of likelihood of remission in depression symptoms was because of the direct effect of treatment, 41% because of pain reduction, and 43% because of functional improvement. Path analysis also indicated that 51% of improvement in functioning was attributed to pain improvement and 43% to mood improvement. Results demonstrate that improvement in pain and mood contributes to functional improvement, and pain reduction and functional improvement increase the likelihood of remission of depressive symptoms with duloxetine treatment in patients with both MDD and PPS at baseline.