Musculoskeletal pain (MP) is common in the general population and has been associated with anxiety in several ways: (a) muscle tension is included as a part of the diagnostic criteria for generalized anxiety disorder, (b) pain can be a common symptom and a good indicator of an anxiety disorder, (c) anxiety is an independent predictor of quality of life in patients with chronic MP, (d) anxiety leads to higher levels of pain chronification, and (e) fear, anxiety, and avoidance are related to MP. The objective of this article is to explore the mechanisms underlying the relation between anxiety disorders and musculoskeletal pain as well as its management. We have also highlighted the role of spirituality and religiosity in MP treatment. We found some similarities between proposed mechanisms and explicative models for both conditions as well as an overlapping between the treatments available. The recognition of this association is important for professionals who deal with chronic pain.