Pain is the most common symptom reported in both the general population and the general medical setting. The aim of this study is to evaluate the effectiveness, tolerance, and safety of venlafaxine extended-release (XR) monotherapy in treating first-episode outpatients fulfilling the Diagnostic and Statistical Manual of Mental Disorders, 4th ed. (DSM-IV) criteria for major depressive disorder with associated painful physical symptoms. Of the 102 outpatients enrolled, 86 (84.3%) completed the study. Venlafaxine XR treatment (75-225 mg/day) was followed by a significant decrease in the total scores for the 17-item Hamilton Depression Rating Scale from baseline to the second weekend (t value=16.12, P<0.0001) and at every subsequent visit (weeks 4, 6, and 8, all P<0.0001). Significant differences were also found in the mean Visual Analog Scales for overall pain and the mean medical outcomes study pain measures from baseline to the second weekend (t value=14.99, P<0.0001; t value=12.59, P<0.0001) and at every visit (all P<0.0001). At the end of the eighth week, venlafaxine XR achieved response and remission rates of 68.6 and 40.2%, respectively. The remission rate for pain responders (improvement in Visual Analog Scale overall pain from baseline to last observation ≥50%) was significantly greater than that for pain nonresponders (56.1 vs. 20.0%, P<0.0001). The most common (≥10%) adverse events were nausea (31.4%), dizziness (26.5%), and somnolence (22.5%). Venlafaxine XR is possibly an effective and safe option in the treatment of depression and associated painful physical symptoms.