Knowledge of factors involved in the associations between pain, common mental disorders and future work incapacity is still scarce. The aim of this study was to examine the overlap between genetic and environmental factors contributing to depression/anxiety, pain, and future long-term sickness absence (SA) and disability pension (DP) among women and men.The study sample included 47995 twins born in Sweden 1935-1985. Information on self-reported depression/anxiety and back, neck and shoulder pain was obtained from surveys conducted 1998-2002 and 2004-2005. Data on long-term SA (>365 days) and DP due to mental and/or musculoskeletal disorders until 2013 were obtained from the National Social Insurance Agency. Shared genetic and environmental influences on depression/anxiety, pain, and SA/DP were estimated by applying structural equation modeling.The prevalence of depression/anxiety was 27% and 14% among women and men, for pain 24% and 19%, and for SA/DP due to mental and musculoskeletal diagnoses 7% and 4%, respectively. Multivariate biometric analyses revealed different patterns of covariation between the three phenotypes among women and men. For women, a latent shared liability to all three phenotypes could be identified, mainly attributable to genetic factors (66%). For men, no shared underlying liability was observed. The variation in SA/DP was explained by genetic factors in common with depression/anxiety by 27% and in common with pain by 9%.Common mental disorders, pain, and SA/DP tend to covariate in different ways among women and men. The results may have clinical implications as strategies preventing SA/DP may be different among women and men.