Yes, definitely. Years ago, I even went to a doctor for leg joint pain, thinking I may be injured or losing cartilage or something. They did xrays, which were normal, then MRI, also normal (or "normal wear and tear" for my profile). There was apparently nothing physical to it.

Since then, I try to figure out whether any pain is physical or possibly due to depression. In some sense, it's "better" if it's depression and nothing physical. On the other hand, curing depression is as hard as or harder than dealing with physical ills.