The aim of this study was to investigate the role of self-efficacy and affect as mediators of the relationship between pain and several fibromyalgia (FM) symptoms (functional limitation, depression, and anxiety). We evaluated 144 women with FM for self-reported pain (numerical pain scale), pressure pain sensitivity (pressure pain thresholds), functional limitation (Fibromyalgia Impact Questionnaire), self-efficacy (Chronic Pain Self-Efficacy Scale), depression-anxiety (Hospital Anxiety and Depression Scale), and positive-negative affect (Positive-Negative Affect Scale). Mediating analyses were conducted with ordinary least squares multiple regression analysis. The results demonstrated that self-reported pain and pressure pain sensitivity exhibited significant relationships with functional limitation, anxiety, depression, self-efficacy, and affect. Affect mediated the relationship between pressure pain sensitivity and anxiety, whereas self-efficacy was the mediating variable between self-reported pain and functional limitation and depression. Our results support a complex nature of pain in women presenting with FM, as cognitive and emotional variables have different mediator relationships between pain dimensions and functional and emotional outcomes in women with FM.