This study aims to investigate whether the experiencing of nightmare distress and nightmare effects is associated with trait factors, specifically with thin boundaries and absorption, and state factors, to be precise with perceived symptoms of depression, anxiety, distress, and somatization in the last 7 days. The participants (N = 344; 217 nightmare sufferers; 127 nonsufferers) filled in an online survey consisting of the Nightmare Severity Index, Nightmare Distress Questionnaire, Nightmare Effect Survey, Four-Dimensional Symptom Questionnaire, Modified Tellegen’s Absorption Scale, and Boundary Questionnaire-18. It was found that the state factors explain a greater amount of variance in all the nightmare-related variables than personality ones. Psychological distress seems to be the most effective factor in predicting nightmare distress and effects. Nightmare sufferers have significantly thinner boundaries than nonsufferers, and women report more nightmare effects than men. The results of this study support the continuity hypothesis and also suggest that trait factors could play a role in predispositions to perceiving worse consequences of nightmares as a reaction to distress, anxiety, somatic problems, or depression experienced daily.