Objective To explore the influence of anxiety on pain intensity and sensitivity in comorbidity of depressive disorder and chronic pain. Methods This study was a cross-sectional survey. From September 2021 to June 2023， 108 patients with depressive disorder who received outpatient and inpatient treatment at the Anhui Mental Health Center were selected as the research subject. Patients were divided into a comorbid group （52 cases） and a non-comorbid group （56 cases） based on whether there was comorbid chronic pain. During the same period， 48 healthy individuals were recruited from the public to be included in the control group. Beck Anxiety Inventory （BAI） and Beck Depression Inventory （BDI-Ⅱ） were used to investigate anxiety and depression symptoms in two groups of patients. Montreal Cognitive Assessment （MoCA）， Pain Intensity Numerical Rating Scale （PI-NRS）， and Pain Sensitivity Questionnaire （PSQ） were used to investigate cognitive function， pain severity， and pain sensitivity among three groups of participants. Multiple linear regression analysis and receiver operating characteristic （ROC） curve were used to analyze the impact of anxiety on pain intensity and sensitivity in comorbidity of depression and chronic pain. Results The total MoCA scores of the two groups of patients were lower than those of the control group， the PSQ-total scores and PSQ-minor scores of the comorbid group were higher than those of the control group， and the total BAI scores， physical anxiety scores， psychological anxiety scores， BDI- Ⅱ scores， and PI-NRS scores of the comorbid group were higher than those of the non-comorbid group， and the differences were statistically significant （all P＜ 0.05）. Multiple linear regression analysis showed that physical anxiety was a factor influencing pain intensity in comorbidity of depressive disorder and chronic pain， and psychological anxiety was a factor influencing PSQ-minor， PSQ-moderate， and PSQ-total， and the differences were statistically significant （all P ＜ 0.01）. ROC curve analysis showed that the area under the ROC curve for predicting pain severity and sensitivity in comorbidity of depressive disorder and chronic pain based on BAI total score was 0.916， with an optimal critical value of 0.416， sensitivity of 0.885， and specificity of 0.875. Conclusions The anxiety of patients with comorbidities of depressive disorder and chronic pain is positively correlated with pain intensity and sensitivity. The severity of anxiety is a factor influencing the intensity and sensitivity of pain in comorbidity of depressive disorder and chronic pain.