Chronic pain causes physical suffering and can have major psychological impacts in patients. Chronic pain can induce depressive disorder, and clinical studies have consistently shown that chronic pain and depression frequently co-occur, suggesting the possibility of shared pathogenic mechanisms underlying these conditions. Acupuncture, as an alternative therapy, has been widely used for analgesia and to treat depression, with demonstrated clinical efficacy. The therapeutic mechanism of acupuncture is related to neural and endocrine regulation. This review considers the mechanism of chronic pain accompanied by depression, in relation to the brain regions and neural circuits affected by acupuncture treatment. This review provides a new approach for the treatment of depression caused by chronic pain.