Background The present study explored the relationship between neuroticism, meta‐cognitive beliefs about worry, pain catastrophising, and pain behaviour. Methods A non‐clinical convenience sample of 308 participants completed the following four measures in this cross‐sectional study: Neo Five‐Factor Inventory, Meta‐Cognitions Questionnaire 30, Pain Catastrophising Scale, and the Pain Behaviour Checklist. Results A multiple‐step multiple mediator analysis was employed to test a model in which (1) positive meta‐cognitive beliefs about worry would mediate the relationship between neuroticism and pain catastrophising and (2) negative meta‐cognitive beliefs about worry would mediate the relationship between pain catastrophising and self‐reported pain behaviour. We also hypothesised that the combined effects of meta‐cognitive beliefs about worry and pain catastrophising on self‐reported pain behaviour would be independent of neuroticism. Results supported the proposed structure with pain catastrophising and meta‐cognitive beliefs about worry mediating fully the effect of neuroticism on self‐reported pain behaviour. Conclusions These findings identify, for the first time in the literature, a link between meta‐cognitive beliefs about worry and both self‐reported pain behaviour and pain catastrophising. The implications of these findings are discussed.