Endometriosis is a chronic inflammatory disease affecting 10% of women in reproductive age and manifested as infertility and pelvic pain, which may be severe and incapacitating. This review aims to address the latest evidence on the association of endometriosis with chronic stress, anxiety and depression, and to find out whether the effective treatment of endometriosis has the additional benefit of attenuating these psychological comorbidities. Studies have found that women with endometriosis, especially those with painful symptoms, have higher levels of stress and a decreased quality of life compared to healthy women. Importantly, depression and anxiety are more prevalent in women with endometriosis, and the presence of psychiatric disorders correlates more to the severity of the endometriosis-related pain than to other disease characteristics. Considering therapeutic implications, controlled clinical trials found that medical and surgical treatments of endometriosis also ameliorated perceived stress, anxiety and depressive symptoms. In conclusion, current evidence indicates that women with endometriosis have an increased prevalence of psychological disorders which correlate more with pain itself than with endometriosis per se. In addition, the effective treatment of endometriosis may reduce the psychological burden of the disease.