well, there is always a way out, even suicide is a way out. but the worse thing is when you cannot decide which way you have to choose. If you get in the situation where suicide is the obvious best solution you can just do it with excitement and happiness. but if you can't decide what is the best solution this is where things get really bad.
But otherwise, I cannot even imagine any other concept of mental pain or depression.
I think that pain by itself is not even something bad it is just one of our senses which gives you certain information, it turns into suffering when you can't do anything about it and it turns into annoyance where the problem is not the pain itself but my inability to get rid of it.
Depression seems to be exactly that feeling of being stuck where you cannot move forward no matter what you do.