The pain during BD is very sharp and the longer it continues, the worse it gets.
I doubt BD will be painful due to PCOS. But if you are feeling it painful only after the pill, then it might be the side effects of it. Check with your doc/RE on that front and find out if there is any other reason for the pain during BD. How does the pain feel?
I know the depression can definitely be related to the pill when I was on it within the first week I found myself crying all the time and I couldn't even get to sleep at times because I would get myself so upset. The sexual intercourse could very possibly be because of the PCOS.