I suppose depression can do a a number of things that would be surprising. The only sensations I've felt from it are fatigue and weakness. It does tend to amplify any physical issues. And any physical issues seem to exacerbate the depression.
On the other hand, in my experience with extreme anxiety, it can cause or exacerbate the sensations you mentioned. Some people tend to catastrophizeand extrapolate issues of pain while being extremely anxious or depressed. Not saying you do...just that it happens. Best thing to do would be to consult you doctor.