Physical pain, depending on how serious, you can heal from eventually.
Emotional pain sometimes can take little time to recover, but unlike physical pain, sometimes it haunts you for life, never giving you a moment of rest.
Let me put it this way. If you're in a car accident and break your leg, but you learn you accidentally killed a whole family, which is going to hurt you longer? Similarly, if your wife/husband threw you on the street, after shooting you in the stomach to add insult to injury, which are you going to dwell on more?
So in my opinion, emotional pain hurts more, due to the length of time it takes to recover from it.