Correlations between pain phenotypes and psychiatric traits such as depression and the personality trait of neuroticism are not fully understood. In this study, we estimated the genetic correlations of eight pain phenotypes (defined by the UK Biobank, n = 151,922–226,683) with depressive symptoms, major depressive disorders and neuroticism using the cross-trait linkage disequilibrium score regression (LDSC) method integrated in the LD Hub. We also used the LDSC software to calculate the genetic correlations among pain phenotypes. All pain phenotypes, except hip pain and knee pain, had significant and positive genetic correlations with depressive symptoms, major depressive disorders and neuroticism. All pain phenotypes were heritable, with pain all over the body showing the highest heritability (h² = 0.31, standard error = 0.072). Many pain phenotypes had positive and significant genetic correlations with each other indicating shared genetic mechanisms. Our results suggest that pain, neuroticism and depression share partially overlapping genetic risk factors.