Talk to General Physician on Body Pain, Depression

i have major depressive disorder, I have been in treatment for 8 months, taking antidepressants and doing psychotherapy. i am on my 5th antidepressant but my mood is still down and I don't feel better. the bigger problem is lethargy and pain in whole body, I don't know how to ease the pain I tried neogab , gabica, paracetamol and wilgesic. none of them seems to work. how can I reduce pain, my doctor says that pain is due to depression and when depression will be cured the pain will go away but I still don't see any improvement in depression/pain. please help