Pain and depressive symptoms are common reasons for adolescents to contact the school nurse. The aim was to describe the prevalence of pain (headache, abdominal pain, and back pain) and depressive symptoms among adolescents and to examine whether there is an association between pain and depressive symptoms. This cross-sectional survey included students (N = 639) in Sweden (median age: 16 years). Over half of the female participants (56%) and one third of male participants (33%) had weekly headaches, abdominal pain, or back pain. Almost every second girl (48%) and one in four boys (25%) had depressive symptoms (as measured by the Center for Epidemiological Studies Depression Scale, scores = 16). There was a significant association between having pain (headache, abdominal pain, or back pain) and having depressive symptoms. It is of great importance for school nurses to adequately identify and treat the cause of pain and other factors contributing to depression.