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Pain, anxiety, and depression are commonly seen in primary care patients and there is considerable evidence that these experiences are related. This study examined associations between symptoms of pain and symptoms and diagnoses of anxiety and depression in primary care patients. Results indicate that primary care patients who endorse symptoms of muscle pain, headache, or stomach pain are approximately 2.5-10 times more likely to screen positively for panic disorder, generalized anxiety disorder, or major depressive disorder. Endorsement of pain symptoms was also significantly associated with confirmed diagnoses of several of the anxiety disorders and/or major depression, with odds ratios ranging from approximately 3 to 9 for the diagnoses. Patients with an anxiety or depressive disorder also reported greater interference from pain. Similarly, patients endorsing pain symptoms reported lower mental health functioning and higher scores on severity measures of depression, social anxiety, and posttraumatic stress disorder. Mediation analyses indicated that depression mediated some, but not all of the relationships between anxiety and pain. Overall, these results reveal an association between reports of pain symptoms and not only depression, but also anxiety. An awareness of these relationships may be particularly important in primary care settings where a patient who presents with reports of pain may have an undiagnosed anxiety or depressive disorder.