Chronic pain and depression are two common diseases that endanger human health. They often co-occur and mutually influence each other, greatly increasing the difficulty of treatment. The occurrence of chronic pain and depression involves common or interacting neural circuits and neurotransmitter systems. Neuroinflammation also plays an important role in the pathogenesis of chronic pain and depression. Dysfunction in related neural circuitry and neuroinflammation are important mechanisms underlying the comorbidity between chronic pain and depression. Chronic stress is a critical cause of inducing depression and chronic pain. Previous studies have shown that dysfunction of the hypothalamic-pituitary-adrenal (HPA) axis is the pathological basis for chronic stress-induced depression and comorbid pain. Chronic stress may promote neuroinflammatory response and dysfunction of neural circuits through HPA axis dysfunction, leading to the comorbidity of chronic pain and depression. This review discusses the pathogenesis of chronic stress-induced pain comorbid with depression, and elaborates on the pathogenesis of chronic stress-induced comorbidity of chronic pain and depression from the aspects of the HPA axis function, neuroinflammation, brain structure and neural circuits involved.