 This study will last 12 months and will comprise depressed and nondepressed participants. Nondepressed participants will receive no treatment. Depressed patients will be randomly assigned to receive standard of care or stepped care for 12 weeks. Standard of care may include cognitive therapy, antidepressant treatment, or other treatments. The stepped care group will receive 12 weeks of antidepressant treatment. Participants who respond to antidepressant treatment will continue their treatment for the duration of the study. Participants who do not respond to the treatment after 12 weeks will receive 6 weekly pain self-management sessions. During these sessions, an educator will teach participants how to manage their pain through exercise and relaxation techniques. Self-report scales and questionnaires will be used to assess participants pain, depressive symptoms, health care usage and costs, and quality of life. Depressed participants will undergo assessments at study start and at Months 1, 3, 6, and 12. Nondepressed participants will undergo assessments at study start and at Months 3 and 12. 