Background: Self-management practices among patients with medical and psychiatric comorbidity is not well understood. We assessed the effects of a combined pharmacological and behavioural intervention on self-efficacy to manage symptoms and self-management behaviours in patients with pain and comorbid depression. Methods: Longitudinal analysis of self-management behaviours and their relationship with outcomes in a 12-month trial of 250 primary care patients with chronic musculoskeletal pain and comorbid depression. Participants were randomized to either usual care or an intervention that consisted of optimized antidepressant therapy followed by six sessions of a pain self-management (PSM) programme. Results: Participants in the intervention group significantly increased the time spent performing self-management behaviours including strengthening and stretching exercises, progressive muscle relaxation and visualization at 12 months. Moreover, intervention participants reported greater self-efficacy to manage their pain and depression. The number of pain self-management sessions received showed a dose–response relationship with improvement in both pain and depression severity. Conclusion: A combined intervention increased patient self-management behaviours and self-efficacy to manage symptoms among primary care patients with chronic musculoskeletal pain and depression. Receipt of the full dose of the entire PSM programme was related to improvements in pain interference and depression severity. What does this study add?: A nurse-led six-session PSM programme increased self-efficacy as well as specific behaviours such as strengthening and stretching exercises, progressive muscle relaxation and visualization. There was a dose–response in that attending a greater proportion of the PSM sessions led to greater improvement in both pain and depression outcomes.