Decades of research confirm that women have greater pain sensitivity than men. Women also show greater overall anxiety sensitivity than men. Given these differences, we hypothesized that sex differences in anxiety would explain sex differences in experienced pain and physiological responses to pain (at both spinal and cortical levels). By measuring subjective pain, state/trait anxiety, nociceptive flexion reflexes, and somatosensory evoked potentials (SEPs), it was possible to test the effects of anxiety on the processing of painful drives at different levels of the neuraxis while also documenting the role played by anxiety on sex differences in experienced pain. Results confirm that women are indeed more sensitive to pain than men. Importantly, this difference was accompanied by a significant sex difference in cortical activity (SEP amplitude) but not spinal nociceptive activity, suggesting that much of the sex difference in experienced pain is attributable to variations in thalamocortical processing and to ensuing changes in the appraisal of and/or emotional response to noxious insult. In support of this claim, we found that sex differences in cortical activity and subjective pain disappeared when trait anxiety was controlled for. This means that stable predispositions to respond with heightened apprehension contribute to baseline pain sensitivity differences between the sexes. These results indicate that the modulatory effect of affect on pain-related brain processes may explain why men and women experience painful shocks so differently. In our study, the mediating role of anxiety on sex differences in pain was tested and confirmed using path analysis.