Talk to General Physician on Back Shoulder Pain And Quadriceps Pain

I have a issue in lower back like my tailbone have angle issue and I have been asked to sit on air cushion but it has been fixed for like 2 months and have no lower back pain now. i also has major depressive disorder for 2 years which caused pain in my whole body and for that I did physiotherapy for 20-22 days and it helped to get relief from all pain and the doctors at physiotherapy department asked me to go to gym so I am going to gym now but after 2 months I am having severe back and shoulder pain. I don't know if it related to depression or tailbone, I tried relaxation exercises, heat pads but got it didn't help. It hurts when I press muscles at shoulder and at back but I feel pain at center of back so please help what can be the cause and which doctor should I consult. Also describe short term relief, it will help me a lot. thanks