Chronic pain conditions are frequently comorbid with anxiety problems. The controlled diaphragmatic breathing technique has been applied in both conditions. However, few studies have examined its efficacy in reducing perceived pain and state anxiety in the population with both pathologies. Thus, the study objective was to investigate the immediate effects of a single-session diaphragmatic breathing intervention on perceived pain and state anxiety in a group of people with chronic pain. We analyzed the influence of sociodemographic variables, dispositional anxiety, average pain during the last week, respiratory rate, and inhalation/exhalation ratio. The sample comprised 169 people with chronic pain from Spain and Poland who were evaluated before and after performing an online controlled diaphragmatic breathing task. The Wilcoxon test showed significant decreases in state anxiety and perceived pain. Linear regression analyses revealed an association between dispositional anxiety and pretest/posttest differences in state anxiety, as well as an association between both average pain in the last week and nationality and pretest/posttest differences in perceived pain. We conducted an exploratory analysis of the differences between both countries in the study variables. We discuss the results and the relevance of further studies on the efficacy of this technique in reducing perceived pain and state anxiety.