Chronic pain and depression frequently co-occur, shaped by shared biological pathways—including inflammation and stress-axis dysregulation—and overlapping psychosocial burdens. Using U.S. National Health Interview Survey data, this study examined how demographic and socioeconomic barriers modify the relationship between pain frequency and depression. Individuals reporting higher pain were significantly more likely to endorse frequent depressive symptoms, and this association was strongest among respondents who delayed or forwent medical care due to cost. Although lower income was associated with greater depression overall, poverty did not significantly moderate the pain–depression relationship, suggesting that cumulative structural inequities may outweigh short-term financial strain. Race and ethnicity significantly influenced the association: Asian and White non-Hispanic respondents displayed higher depression levels across pain strata compared to Black and Hispanic respondents, indicating that cultural and structural factors shape symptom reporting and lived experience. Healthcare affordability emerged as a central determinant of depression risk, with foregone care predicting markedly worse mental health irrespective of insurance status. These findings highlight the importance of addressing both structural barriers and inequities in care access to reduce the psychological burden among people living with chronic pain.