There is a well-established comorbidity between migraine and anxiety and depression (A/D). Here, we investigate whether this relationship is specific for migraine and A/D or whether other types of pain are also consistently associated with A/D. In addition, we test whether there is a consistent association between migraine and other types of pain when comorbidity with A/D is controlled for. Data on A/D, migraine, and 6 nonheadache pain locations (back, neck, orofacial area, abdomen, joints, and chest) were analyzed in 2,981 participants from the Netherlands Study of Depression and Anxiety (NESDA). It was tested whether the prevalence of pain in each individual location, as well as the total number of pain locations, depended on A/D and migraine status. A/D was consistently associated with pain in all measured locations. Migraine was also associated with pain in all anatomical sites, but these associations weakened substantially after correction for A/D severity, suggesting that a considerable part of the comorbidity of migraine and other types of pain may be explained by A/D. These findings emphasize the importance of accounting for A/D in studies of pain comorbidity. This will contribute to a better understanding of the mechanisms underlying A/D and pain. Perspective: Anxiety and depression are consistently associated with pain, regardless of anatomical site. These disorders may be important factors in the co-occurrence of different pain disorders. Awareness of this comorbidity and a better understanding of the underlying mechanisms may facilitate adequate treatment of both types of conditions. © 2013 by the American Pain Society.