Depression with a burning sensation on one side of the body can be related to nerve issues like Peripheral neuropathy or even anxiety-related physical symptoms, but one-sided burning should be evaluated to rule out neurological causes. Manage stress, get proper sleep, and seek support for mood symptoms; for nerve discomfort, doctors may prescribe medicines if needed. Please consult a doctor (and a mental health professional) for proper assessment, especially if the burning is persistent, worsening, or associated with weakness or numbness.