Background/Objectives: Pain is a multidimensional experience influenced by sensory, emotional, and cognitive factors. Traditional pain assessments often fail to capture this complexity. This study aimed to develop and validate the Pain Multidimensional Questionnaire (Pa-M-QU), a new self-report tool designed to assess pain catastrophizing, sensitivity, and coping strategies. Methods: Two independent samples of Italian-speaking participants, aged 18 and above, were recruited online. The first sample (n = 392; mean age = 29.36) was used for exploratory factor analysis (EFA), and the second sample (n = 123; mean age = 28.0) for confirmatory factor analysis (CFA). Pearson’s correlations and convergent validity analyses were conducted. Results: From an initial pool of 59 items identified through focus group discussions, 35 items were removed based on reliability analysis. The final 24-item Pa-M-QU features a three-factor structure: catastrophizing, pain sensitivity, and coping with pain. Conclusions: The Pa-M-QU offers a rapid, non-invasive assessment that captures the multidimensional nature of pain. It is a starting point to develop tools for both clinical and research settings, aiding in evaluating pain in healthy individuals and predicting acute and chronic pain disorders. Future research should focus on refining the Pa-M-QU for broader clinical applications and exploring its potential to complement or replace traditional pain assessments, thereby advancing pain management and research.