When I'm in bed, I get terrible pain in my shins, sometimes all the way down my thigh bones too. The only thing that relieves it is moving my feet back and forth, so much so that I have worn holes in my sheets. I associate the pain with my depression but like you I have no idea how it could come about. The only possibility I can think of is that my posture is bad (all hunched over) and that is trapping a nerve.