First of all I am sorry to hear that you are having such chronic pain in your leg. If you haven't talked to your doctor about this problem, you definitely should, because it would be good to try to get to the bottom of the cause of the pain. If your doctors have already investigated the pain and haven't been able to uncover a cause, then it might be helpful to talk with a pain specialist
to help you set up a plan for relieving some of the pain.
There definitely is an association between chronic pain and depression. In part, this is because the chronic pain can serve as a source of stress that can negatively impact your mood. People with chronic pain also tend to be less socially engaged than others (it can be hard to leave the house, for example) and this can also further make them feel alone with their pain.
If you are feeling this way, then I encourage you to talk to a psychiatrist
or a psychologist
. They can assess your mood and help you figure out whether you are depressed, and develop a plan of treatment.