Background: Pain, sleep disturbances, and mood disorders are considered common symptoms of fibromyalgia (FM). However, the interactions that are established between them and the implication that this has in the disease are not clear. The main objective of this study is to clarify the relationships established between insomnia, pain intensity and anxiety in women with FM. Additionally, the effect that the indicated pathological cycle between pain, insomnia and anxiety may have on the impact of the disease in these patients is explored. Methods: A total of 228 women diagnosed with FM participated in this study (mean age = 56.99 years, SD = 10.35). Measurements were conducted at two time points. Initially, the women completed self-report questionnaires about anxiety (The Hospital Anxiety and Depression Scale; HADS), sleep problems (The Insomnia Severity Index; ISI) and pain intensity (Brief Pain Inventory; BPI), and a week later, they answered questions about the impact of fibromyalgia (Fibromyalgia Impact Questionnaire- Revised; FIQ-R). For data analysis, models 4 and 6 of the Macro Process for SPSS were used. Results: Insomnia predicts higher levels of pain, which in turn predicts higher levels of anxiety, which in turn predicts a higher impact of fibromyalgia (B = 2.76, SE = 1.10, 95% CI = [0.79,5.11]). No significant results were found for the other interactions between the variables. Conclusions: Due to the clinical and scientific relevance of the insomnia–pain–anxiety pathological cycle and given the impact it has on FM, it is especially relevant to develop programs for patients with fibromyalgia based mainly on improving sleep quality.