Background: Increasing studies have supported the relationship between pain disorders and treatment-resistant depression (TRD) or chronic pain disorders may possibly impact the clinical characteristics of major depressive disorder (MDD). Thus, this linkage has been seen as a potential clinical marker to predict diagnostic conversion to bipolar disorder (BD) among patients with MDD. Methods: With the Taiwan National Health Insurance Research Database, we enrolled 4,760 adolescent and young adult patients with TRD, 19,040 counterparts with antidepressant-responsive depression, and 19,040 age-/sex-/residence-/family income-matched controls. Then, we followed up on their conversion from MDD to BD from enrollment to the end of 2011. Results: The incidence of diagnostic progression from MDD to BD was significantly higher in the TRD group than the non-TRD group (30.5% versus 10.6%, p < 0.001). Logistic regression analysis with adjustment of demographic characteristics showed that the TRD group had the highest risks of previous migraine, tension headache, fibromyalgia, peripheral neuropathy, dysmenorrhea, and irritable bowel syndrome, followed by the non-TRD group, and then the control group (p < 0.05). In further analysis of those data stratified by diagnostic progression to BD, we found no consistent results among different subgroups. Conclusion: Clinicians should be aware of the higher risk of developing TRD in depressive patients with comorbid pain disorders such as migraine, tension headache, fibromyalgia, peripheral neuropathy, dysmenorrhea, and irritable bowel syndrome. Besides, we found no consistent results in predicting diagnostic conversion from MDD to BD when the rôle of these pain disorders was evaluated.