Fibromyalgia (FM) is a highly disabling condition characterized by widespread chronic pain. Physical exercise, such as walking, has been recommended as the treatment of choice for FM. However, adherence to physical exercise tends to be poor. Pain is one of the main inhibitors to adhere to walking in FM patients. The main objective of this study has been to determine whether there is a clinical and psychosocial profile to help predict individual differences in adherence to walking in a sample of patients with FM with severe pain levels. In this cross-sectional study, the sample was composed of 172 women with FM and severe pain levels (> 7 in an 11-point numerical scale). Women were classified into two groups: (1) those who walked regularly and (2) patients who rarely or never walked. Group differences regarding clinical outcomes (e.g., FM impact, anxiety, depression, cognitive fusion, catastrophizing, affect, and personality), sociodemographic variables, and medical history were analyzed. Patients who walked despite pain significantly reported less impact of FM, anxiety, depression, catastrophizing, cognitive fusion, negative affect, openness to experience, agreeableness, and conscientiousness. The unique predictors of group membership (walking versus no walking) in a binary regression were FM impact and negative affect. The results show that adherence to exercise might be influenced and predicted by the clinical profile of the patient, which suggests that personalized motivational interventions should be addressed to this at-risk subgroup.