Increased incidence of clinical pain complaints from patients with major depression, as well as increased experimental pain thresholds have been reported. The basis of this phenomenon remains unclear, as well as its relation to medication, clinical recovery, gender and lateralization of hemispheric function. We aimed to further elucidate heat pain perception in depression applying a testing battery including assessment (on both arms) of warmth perception, heat pain perception and heat pain tolerance, and the jaw opening reflex (duration of ES2 component) as a putative indicator of descending pain inhibition. The battery was applied to 20 patients and 20 age- and sex-matched controls. Patients were assessed: on admission (acutely depressed, off-medication), few days after admission (depressed, on medication), and after clinical recovery (mostly on medication), and controls at corresponding intervals. Significant elevated heat pain thresholds were found off and on medication in the acute stage (mainly in women) and after recovery on the right arm only. Elevated heat pain tolerance (on the right arm only) was seen in medicated patients in the acute and recovered stage. Significant prolongation of ES2 duration was only found in acutely depressed patients off medication. While confirming hypalgesia to heat pain in major depression, our findings demonstrate a close relation to gender and strong influence of lateralization after recovery. Altered pain processing at brain stem level might only partially be responsible for the observed finding.