Background: Fibromyalgia (FM) is a chronic pain disease characterized by multiple symptoms whose interactions and implications in the disease pathology are still unclear. This study aimed at investigating how pain, sleep, and mood disorders influence each other in FM, while discriminating between the sensory and affective pain dimensions. Methods: Sixteen female FM patients were evaluated regarding their pain, while they underwent—along with 11 healthy sex- and age-adjusted controls—assessment of mood and sleep disorders. Analysis of variance and correlations were performed in order to assess group differences and investigate the interactions between pain, mood, and sleep descriptors. Results: FM patients reported the typical widespread pain, with similar sensory and affective inputs. Contrary to controls, they displayed moderate anxiety, depression, and insomnia. Affective pain (but neither the sensory pain nor pain intensity) was the only pain indicator that tendentially correlated with anxiety and insomnia, which were mutually associated. An affective pain–insomnia–anxiety loop was thus completed. High ongoing pain strengthened this vicious circle, to which it included depression and sensory pain. Conclusions: Discriminating between the sensory and affective pain components in FM patients disclosed a pathological loop, with a key role of affective pain; high ongoing pain acted as an amplifier of symptoms interaction. This unraveled the interplay between three of most cardinal FM symptoms; these results contribute to better understand FM determinants and pathology and could help in orienting therapeutic strategies.