Pain is strictly a physical sensation. It may however be triggered by thoughts or emotions. The three are rarely ever experienced in isolation.
Hard to tell that to those with lost limbs who suffer from ghost pain.
1. https://www.mayoclinic.org/diseases-conditions/phantom-pain/...
So uhh, what exactly is pain? Is it the feeling? Is it the physical damage? Is it a warning about damage? Is it the fear of damage (as in broken hearts etc.)?
If it means "there is a physical set of physical matter involved in the sensation of pain, be it pain nerves or just me thinking using my physical thinking apparatus", well then given that I'm made out of physical matter, what isn't strictly physical?
It may help to look at it from a cause and effect perspective.
injury -> pain
thinking -> pain
feeling -> pain
thinking -> feeling + pain
pain -> feeling + thinking
...etc