This study evaluated the change in reported pain in patients with medication-resistant major depression receiving transcranial magnetic stimulation (TMS) compared with sham stimulation. In this study, 68 subjects with major depression were randomized to either TMS or sham stimulation. Repetitive TMS was delivered to the left dorsolateral prefrontal cortex at a frequency of 10 Hz in 5-second trains at 110% of the estimated prefrontal cortex threshold. The level of pain was assessed before, during, and after treatment using the Systematic Assessment for Treatment Emergent Effects (SAFTEE) item for pain in the muscles, bones, and joints. Compared with sham, TMS was associated with a significant (p < 0.05) reduction in the SAFTEE pain item during the study. The reduction in pain could not be explained by the antidepressant effects.