Background: Breast cancer is the most frequent cause of malignant tumors among women worldwide. Its successful prevention depends on the degree of participation in screening programs, which can be influenced by psychological factors, including fear. Method: A cross-sectional study was conducted according to the Strengthening the Reporting of Observational Studies in Epidemiology (STROBE) Statement. Twenty-six healthy women aged 50–69 years took part in this study, all of whom were summoned for routine mammography screening and were randomly selected. Prior mammography screening, breast pain intensity, unpleasantness (visual analog scale), and psychological (catastrophizing, state anxiety, and fear of pain) and personality (neuroticism, psychoticism, and extraversion) variables were evaluated. Pain, unpleasantness, and state anxiety were further evaluated pre- and post-mammography screening. Results: During the mammography screening, pain and unpleasantness levels were higher than those observed pre- and post-screening. Residual unpleasantness remained post-screening. State anxiety was positively associated with pain, and psychoticism with unpleasantness, as reported by participants during the mammography screening. Conclusions: Anxiety levels influence the pain experienced in association with the mammography procedure. Women subjected to mammography screenings might benefit from relaxation strategies aimed at reducing anxiety to pre-mammography levels and, by extension, pain and unpleasantness during mammography. The inclusion of these strategies in breast cancer prevention campaigns could improve the rates of mammography reattendance, and therefore, benefit cancer prevention efforts.