Epidemiological data regarding chronic pain and psychiatric disorders are reviewed. Particular attention is given to the interplay between pain and depressive and anxiety disorders. In the general population, 19 to 33% of responders report chronic pain, with higher rates in elderly people. Major depression is one of the most common medical problems, affecting nearly 6% of the population, with a lifetime prevalence of 11 to 14%. The presence of depression in persons with chronic pain is significantly higher (21%) than that in the general population, and this proportion is even higher (52–85%) in specific populations of patients attending specialist clinics. Conversely, convincing evidence published in numerous studies has documented that at least 50% of depressed patients report painful symptoms. Pain exerts a negative effect on treatment and a poorer outcome in multiple domains of quality of life. Moreover, pain increases the economic burden resulting from depression. A close relationship between pain and depression has been established in the functional somatic syndromes of fibromyalgia and irritable bowel syndrome. An association between anxiety disorders and pain has also been documented. Epidemiological studies have provided evidence suggesting the common co-occurrence of pain and selected psychiatric disorders. This is an indication for practitioners to examine patients with pain for symptoms of depression and anxiety disorders and conversely to interview patients with psychiatric disorders in regard to the presence or absence of pain. These studies also provide the inspiration for further investigations of the intriguing shared biological basis or pain and psychiatric disorders.