The whole nervous system is connected to the brain and when we feel really low sympathetic pain can result. The only relief is to have your mood lifted, which is often easier said than done. I sometimes get an achy pain in my right temple when I feel low, or just fed up with the ways things are - this Covid lark doesn't help, nor do the media when we are fed a diet of misery on a daily basis.
Again I will hark back to meditation to help you relax and push the misery of the world away for a short while. Give it a try.
I have to agree, it's very possible for mental pain to become physical, it's happened to me several times. Sadly I haven't found any genuine coping techniques for it, either, though @gibby's right, a nice bath can help!