The relationship between pain and depression is thought to be bidirectional and the underlying neurobiology ‘shared’ between the two conditions. However, these claims are often based on qualitative comparisons of brain regions implicated in pain or depression, while focused quantitative studies of the neurobiology of pain-depression comorbidity are lacking. Particularly, the direction of comorbidity, i.e., pain with depression vs. depression with pain, is rarely addressed. In this systematic review (PROSPERO registration CRD42020219876), we aimed to delineate brain correlates associated with primary pain with concomitant depression, primary depression with concurrent pain, and equal pain and depression comorbidity, using activation likelihood estimation (ALE) meta-analysis. Neuroimaging studies published in English until the 28th of September 2021 were evaluated using PRISMA guidelines. A total of 70 studies were included, of which 26 reported stereotactic coordinates and were analysed with ALE. All studies were assessed for quality by two authors, using the National Institute of Health Quality Assessment Tool. Our results revealed paucity of studies that directly investigated the neurobiology of pain-depression comorbidity. The ALE analysis indicated that pain with concomitant depression was associated with the right amygdala, while depression with concomitant pain was related primarily to the left dorsolateral prefrontal cortex (DLPFC). We provide evidence that pain and depression have a cumulative negative effect on a specific set of brain regions, distinct for primary diagnosis of depression vs. pain.