The present study investigates the role of coping, experiential avoidance, and self-compassion on psychological distress prediction (i.e., depression, anxiety, and stress symptoms). A battery of self-report questionnaires was used to assess coping, experiential avoidance, self-compassion, and psychological distress in 103 adults with chronic pain from Portuguese primary health care units. Hierarchical regression analyses were performed and showed that experiential avoidance and self-compassion are the factors that mostly explain psychological distress. Our results suggest that when people with chronic pain are willing to remain in contact with particular private experiences without attempting to control them, they reported less depression, anxiety, and stress. Implications for clinical practice were discussed, suggesting the importance of helping people with chronic pain to increase their willingness to pain rather than avoiding it.