Patients suffering from major depressive disorder (MDD) have been shown to exhibit increased thresholds towards experimentally induced thermal pain applied to the skin. In contrast, the induction of sad mood can increase pain perception in healthy controls. Here, we aimed to test the hypothesis that heat pain thresholds are further increased after sad mood induction in depressed patients. Thermal pain thresholds were obtained from 25 female depressed patients and 25 controls before and after sad mood induction applying a modified Velten Mood Induction procedure (MIP). Valence and arousal ratings were obtained using the self-assessment manikin. The Montgomery Depression Rating Scale and the Beck Depression Inventory (BDI) were obtained at baseline from all participants. Pain thresholds at baseline did not significantly differ between groups. Pain thresholds and valence of mood significantly decreased both in patients and controls, while arousal showed an inverse time course between groups. Therefore, our hypothesis could not be confirmed. From these data, we propose that the depressed mood as seen in MDD patients influences pain experience differently as compared to the shorter-lasting mood change after MIP. A differential interaction of both affective states with brain areas of the pain matrix might be assumed. Eventually, the induction of sad mood might mirror the increased number of pain complaints in depressed patients and thus adds to the current concept of adjuvant antidepressant treatment both in depressed patients with pain complaints and in chronic pain patients.