Pain is the most common symptom reported in clinical practice, meaning that it is associated with many pathologies as either the origin or a consequence of other illnesses. Furthermore, pain is a complex emotional and sensorial experience, as the correspondence between pain and body damage varies considerably. While these issues are widely acknowledged in clinical pain research, until recently they have not been extensively considered when exploring animal models, important tools for understanding pain pathophysiology. Interestingly, chronic pain is currently considered a risk factor to suffer psychiatric disorders, mainly stress-related disorders like anxiety and depression. Conversely, pain appears to be altered in many psychiatric disorders, such as depression, anxiety and schizophrenia. Thus, pain and psychiatric disorders have been linked in epidemiological and clinical terms, although the neurobiological mechanisms involved in this pathological bidirectional relationship remain unclear. Here we review the evidence obtained from animal models about the co-morbidity of pain and psychiatric disorders, placing special emphasis on the different dimensions of pain.