Many physical problems can cause depression and anxiety and depression and anxiety can cause physical aches and pains. But depression and anxiety are usually treated by pdocs, despite which came first, the chicken or the egg. There isn't really an "in my mind" thing about depression and anxiety.

I take thyroid hormone and because I have to take it by mouth instead of my body making it like it likes, I have all sorts of aches and pains thought to be caused by how the hormone is used when taken as a pill rather than made "naturally". I can't "fix" that problem completely and have to deal with the aches and pains however I can. I think the same is true of your depression, whether it's caused by your other, physical illnesses and pains or "in your mind". The pdoc's meds will probably help with it.