When speaking about the mind-body connection we must realize that in fact the mind is the same as the body. This 'connection' was rather artificially created. Usually we can describe it like this; when you're feeling sad or depressed (if you understand this as a mental state/state of mind) your body is also affected - you sleep more as you're more tired, you feel without energy, etc.
Another common way is to mention pain - when you cut your finger for example (a part of your body) you can experience intense pain (a mental state).
However, it is important to understand that every mental state corrresponds to some changes that have happened in the brain which make us perceive in the world in such a way (pain and depression are both understood as consequences of different neutrotransmitter levels and functioning for example).