Fibromyalgia is a disorder characterized by chronic widespread pain and non-pain symptoms, such as fatigue, dysautonomia, and cognitive and sleep disturbances. Its pathogenesis and treatment continue to be the subject of debate. We highlight the role of three mechanisms—autoimmunity, neuroinflammation, and small fiber neuropathy—in the pathogenesis of the disease. These mechanisms are shown to be closely interlinked (also on a molecular level), and the review considers the implementation of this relationship in the search for therapeutic options. We also pay attention to chronic fatigue syndrome, which overlaps with fibromyalgia, and propose a concept of “autoimmune hypothalamopathy” for its pathogenesis. Finally, we analyze the molecular mechanisms underlying the neuroinflammatory background in the development of adverse events following HPV vaccination and suggesting neuroinflammation, which could exacerbate the development of symptoms following HPV vaccination (though this is hotly debated), as a model for fibromyalgia pathogenesis.