I was just wondering what causes that pain a person feels when they say they have a broken heart? How is it that we can feel sadness so physically?
Because when your mind gets screwed up it screws up the rest of you. I’m sure someone will get more technical, but that is the jist of it. 
I don’t have a definative answer, but I just wanted to say that I know exactly what you’re talking about. I’ve lately suffered a bout of depression, which I’ve had in the past (and took medication for) but which had been long dormant. There’s nothing like, or worse than, the physical feeling of intense sadness.
I believe, if you stop to think about it, that most of our emotions are felt physically, or at least biologically. Our thoughts race, or low down. Our pulse changes. Certain muscles tighten, others loosen. Our posture changes. Our senses become more alert or more dulled, or we become more attuned to certain things. Our stomach becomes filled with butterflies or with acid.
I used to be quite oblivious to my own emotions until a therapist told me I was angry (I denied it) and pointed out the physical characteristics that demonstrated and embodied my anger. (I was about 12 or 13 when this happened.) Since then I’ve realized that these physical and mental changes are our emotions, to a very large extent.
I’ve often thought that for Star Trek’s Cmdr Data to experience anger, for example, all he really had to do was program his brain to focus on a percieved injustice, to highten his reflexes and lower his inhibitions, and to tighten his muscles, especially those in his face, neck and back. Of course what makes the experience uniquely “emotional” to us is that we don’t program ourselves; it is neither under our control, nor happens “to us,” but is simply the natural, unreflective reaction we exhibit to certain situations. We exert control over our emotions primarily by resisting them (though we can also intensify them), but the immediate reaction of our bodies and brains which we then resist or encourage is, in a sense, “given” as a part of who we are. It is, nevertheless, entirely physical, not only in a reductionistic, neurological sense, but in a general, perceptible sense as well. Our emotions make up who we are, but they occur in our muscles as much as in our brains.