Cognitive–behavioral and physical therapies are incorporated into multidisciplinary chronic pain programs because changes in pain cognitions and physical capacity may represent therapeutic processes that facilitate favorable outcome. Decreases in depression, however, may explain treatment responses more parsimoniously. Measures of pain helplessness, lifting capacity, walking endurance, depression, pain severity, and activity level were collected from 94 chronic pain patients at pre- and posttreatment and at 3- to 6-month follow-up evaluations. Decreases in pain helplessness were linked to pain severity reduction, whereas walking endurance increases were related to improvements in activity levels and downtime even after controlling for effects of depression decreases. Thus, cognitive and physical capacity changes that occur through pain treatment may make unique contributions to long-term outcome.