A few years back I saw a client being seen by a student on the Uncommon Knowledge hypnotherapy diploma during a session I was supervising say that since they had become depressed they had suffered one physical illness after the other.
Depression depletes the neurotransmitter serotonin. Serotonin, as well as making us feel good, moderates the experience of pain. So depression can literally hurt as we feel more physical (as well as, of course, psychological) discomfort when depressed.
This article explains how depression damages immune function leaving us more susceptible to disease.
On a more optimistic note; in the Uncommon Knowledge article why an optimistic outlook will make you healthy, wealthy and more popular we show that positive attitude has physical health rewards and, fortunately, optimism can be learned.