Depression and chronic pain are closely related.  Depression can cause or increase pain and the stress of chronic pain can lead to depression.  Together they can create a vicious cycle.  The same neurotransmitters (serotonin and norepinephrine) in your brain control both pain and mood.  Research has also shown that pain and depression share common pathways in the limbic region of the brain. 

I suspect that once your depression begins to improve, so will your pain levels.  Actually, antidepressants are often used in the treatment of pain as they are known to inhibit the transmission of pain signals.  Antidepressants that increase norepinephrine (like Effexor) seem to be better at relieving pain that other types of antidepressants. 

You need to tell your doctor that your depression is not improving and that you pain levels have increased significantly.  He may want to change your current medication and/or may want to prescribe something additional to help with the pain.