Chronic widespread pain (CWP), including fibromyalgia (FM), is characterized by generalized musculoskeletal pain. An important clinical feature is widespread increased pain sensitivity such as lowered pain thresholds for different stimuli such as heat (HPT) and cold (CPT). There is a growing interest in investigating the activated neurobiological mechanisms in CWP. This explorative proteomic study investigates the multivariate correlation pattern between plasma and muscle proteins and thermal pain thresholds in CWP and in healthy controls (CON). In addition, we analysed whether the important proteins and their networks for CPT and HPT differed between CWP and CON. We used a proteomic approach and analysed plasma and muscle proteins from women with CWP (n = 15) and CON (n = 23). The associations between the proteins and CPT/HPT were analysed using orthogonal partial least square (OPLS). The protein–protein association networks for the important proteins for the two thermal pain thresholds were analysed using STRING database. CWP had lowered pain thresholds for thermal stimulus. These levels were generally not related to the included clinical variables except in CWP for HPT. Highly interacting proteins mainly from plasma showed strong significant associations with CPT and HPT both in CWP and in CON. Marked differences in the important proteins for the two thermal pain thresholds were noted between CWP and CON; more complex patterns emerged in CWP. The important proteins were part of the immune system (acute phase proteins, complement factors, and immunoglobulin factors) or known to interact with the immune system. As expected, CWP had lowered pain thresholds for thermal stimulus. Although different proteins were important in the two groups, there were similarities. For example, proteins related to the host defence/immunity such as acute phase proteins, complement factors, immunoglobulin factors, and cytokines/chemokines (although not in CON for CPT) were important habitual/tonic factors for thermal pain thresholds. The fact that peripheral proteins contribute to thermal pain thresholds does not exclude that central factors also contribute and that complex interactions between peripheral and central factors determine the registered pain thresholds in CWP.