Is clinical depression painful to the body, or just in the mind?

Both: I have thought of depression as primary pain without a source. There is no pain without perception which is in the brain. When someone is depression everything hurts more. Many people with fibromyalgia pain generally feel better with antidepressants than with actual pain meds. In other words all pain is in your head! also, depressed people are more likely to develop medical problems.

Not in general : Depression is not usually physically painful. However. Some people experience their depression as bodily aches and pains plus their other symptoms. Depression can affect the perception of pain. Pain can worsen depression.