Depression is a common feature of chronic pain, but there is only limited research into the content of depressed cognitions in pain patients. This study investigated the content of cognition in depressed pain patients, non-depressed pain patients, and two control groups, healthy controls, and osteopaths using a sentence completion task. Participants generated completed sentences to a set of predefined stems that included negative, positive and neutral self-reference, and past, future and world terms. Complete responses were coded by valence (negative, positive and neutral) and health/non-health related content. As predicted depressed pain patients produced more negative sentence completions to all stems than all other groups. Depressed pain patients produced more health related completions than either of the control groups. Pain patients who were not depressed did not differ from the osteopath control group in the number of health related completions. When negativity was considered depressed pain patients produced proportionately more negative health-related completions than all other groups. We suggest that the focus of depression in chronic pain patients is health related. Pain patients who are not depressed focus on health, but not necessarily in a negative way. The concept of themselves in the future might be a key aspect in depression in pain patients.