Do you feel like your mental and physical health are connected?

Whenever I feel like I'm mentally in a slump, physically my body starts manifesting unpleasant symptoms as well.
I feel tired, exhausted, my skin itches, I lose my appetite, I suffer from sleep problems, etc.
As soon as my mood lifts, I start feeling healthier again, both physically and mentally.
Do you have the same experience? Do you think one causes the other? Is it more physical or mental?