Objective: Many patients with depression and/or anxiety (D/A) persistently report pain. However, it is not clear how the course of D/A is associated with pain over time. The present study assessed longitudinal associations between D/A and pain, and compared pain over time between D/A and healthy controls. Methods: 2676 participants of the Netherlands Study of Depression and Anxiety were followed-up for four years. At three waves (baseline, 2, 4. years) we assessed depressive and anxiety symptom severity. Using DSM-IV criteria, we also assessed four different D/A disorder courses over time (n. =. 2093): incident, remitted, chronic, and no D/A (reference group). Pain was assessed at the three waves by severity and number of locations. Results: Change in D/A symptoms was positively associated with change in pain symptoms. Compared to healthy controls (n. =. 519), D/A subjects - incident (n. =. 333), remitted (n. =. 548) or chronic (n. =. 693) - reported more severe pain (b. =. 0.4-0.7, p. <. 0.001) and more pain locations (b. =. 0.8-1.4, p. <. .001) at all waves, with the highest ratings in chronic D/A. Remission of D/A during follow-up was associated with a significant decline in pain (severity; p. =. 0.002, number of locations; p. <. .001), but pain levels remained significantly higher compared to healthy controls. Findings were similar for separate depression or anxiety course. Conclusions: This study largely confirms synchrony of change between depression, anxiety and pain. However, even after depression and anxiety remission, subjects report higher pain ratings over time. Individuals with D/A (history) seem to be at increased risk of chronic pain.