Complex interactions between pain perception, anxiety and depressive symptoms have repeatedly been described. However, pathophysiological or biochemical mechanisms underlying the alterations of pain perception in patients suffering from anxiety or depression still remain a matter of debate. Thus, we aimed to perform an investigation on pain perception in an animal model of extremes in anxiety-related behaviour, which might provide a tool for future studies. Here, thermal pain thresholds were obtained from rats with a genetic predisposition to high anxiety-related behaviour (HAB), including signs of comorbid depression-like behaviour and from controls (low-anxiety rats (LAB); cross-bred HAB and LAB rats; Wistar rats). Furthermore, the effect of eight-week antidepressive treatment using citalopram and of short-term anxiolytic treatment with diazepam on pain-related behaviour was assessed. Simultaneously, anxiety-related behaviour was monitored. At baseline, HAB animals showed 35% higher thresholds for thermal pain than controls. These were normalized to control levels after eight weeks of continuous citalopram treatment paralleled by a reduction of anxiety-related behaviour, but also acutely after diazepam administration. Overall, thermal pain thresholds in HAB animals are shifted in a similar fashion as seen in patients suffering from major depressive disorder. Antidepressive, as well as anxiolytic treatments, attenuated these differences. As the relative importance of the factors anxiety and depression cannot be derived from this study with certainty, extending these investigations to additional animal models might represent a valuable tool for future investigations concerning the interrelations between anxiety, depression, and pain at a molecular level.