Objective: This study analyzes the role of a number of cognitive-affective dimensions in the experience and coping of pain in patients with fibromyalgia (FM). Specifically, it was examined whether anxiety, depression, pain catastrophizing and pain-related anxiety predict the pain perception and the self-efficacy expectations in these patients. Method: Seventy-four fibromyalgia patients were asked to complete a questionnaire survey including the Chronic Pain Self-Efficacy Scale, the Hospital Anxiety and Depression Scale, the Pain Anxiety Symptoms Scale-20, the Pain Catastrophizing Scale, and the Short-form McGill Pain Questionnaire. Results: Some relevant correlation and predicting patterns were identified. Physiological anxiety was the best predictor of the sensorial dimension of pain. Pain fear was a significant predictor of the pain intensity. Helplessness was the best predictor of the affective dimension of pain, whereas depression was a significant predicting variable of the self-efficacy expectations. Conclusions: This study shows the relevance of the pain-related anxiety in the pain perception, and of the depression in the self-efficacy expectations in FM patients. Clinical applications of the findings and further research lines in this area are discussed.