Objective: To examine in a nationally representative sample (a) the differential association of specific anxiety and depressive disorders defined according to DSM-IV with pain disorder (PD) and pain symptoms, and (b) whether pain-associated anxiety and depressive disorders and their comorbidity have different implications in terms of impairment, disability, health care utilization, and substance use. Method: A nationally representative community study was conducted in Germany. Symptoms, syndromes and diagnoses of mental disorders, and pain were assessed in N = 4,181 participants aged 18–65 years using the DSM-IV/M-CIDI. Results: Logistic regressions revealed that pain is associated with both specific anxiety and depressive disorders, with increasing significant odds ratios (OR) for medically explained pain symptoms (EPS; OR range: 1.9–2.0), to unexplained pain symptoms (UPS; OR range: 2.4–7.3), to PD (OR range: 3.3–14.8). PD and UPS persistently showed associations after adjusting for comorbid other anxiety and depressive disorders and physical illnesses. All types of pain, particularly PD/UPS, are associated with decreased quality of life, greater impairment in role functioning, disability, health care utilization, and substance use. Depressive disorders, even more so anxiety disorders and their comorbidity account for a substantial proportion of variance in these functional correlates. Conclusions: Pain is strongly associated with specific anxiety and depressive disorders. In light of the individual and societal burden due to pain, and the demonstrated role of comorbid anxiety or/and depression, our results call for further investigation of the underlying mechanisms for this association as well as targeted treatments for these comorbidities.