The aims of this study were twofold: 1) to better understand the associations between pain-related cognitions and pain severity, and psychological and physical function, and 2) to determine the extent to which these cognitions function as mediators in the association between pain severity and depression in a sample of primary care adult patients with chronic pain and depression. Cross-sectional design. Three hundred twenty-eight patients with both depression and chronic pain from primary care centers responded to measures of pain severity, pain interference, depression severity, and pain-related cognitions (including measures of catastrophizing and other pain-related beliefs). We performed three hierarchical regression analyses and two multiple regression analyses. The helplessness domain of pain catastrophizing was positively associated with pain severity, depression severity, and pain interference and mediated the relationship between depression and pain severity and vice versa. Beliefs about disability showed a positive association with pain severity, pain interference, and depression severity, and also mediated the relationship between pain severity and depression. Believing in a medical cure was positively associated with pain interference and negatively associated with depression; emotion beliefs were positively associated with pain severity. These findings provide important new information about the associations between several pain-related cognitions and pain severity, depression, and pain interference and the potential mediating roles that these cognitions play in the associations between pain severity and depression in patients with both chronic pain and depression in the primary care setting.