Individuals suffering from chronic pain are frequently affected by depression, which in turn increases the risk of developing chronic pain over time. This study aims to investigate the relationship between depression and pain intensity and threshold in a group of rheumatic patients compared to healthy subjects. One hundred twenty-four individuals of whom 50 were affected by rheumatoid arthritis (RA), 23 by psoriatic arthritis (PsA), 23 by ankylosing spondylitis (AS), and 28 age-matched controls without chronic pain underwent quantitative sensory testing to assess pressure pain threshold with pressure algometry. Pain intensity was evaluated through the visual analogue scale (VAS) and depression through the Hamilton Depression Rating scale (HAMD). A significant inverse correlation between HAMD values and pressure pain thresholds was found in the entire group of patients (p < 0.0001), in controls (p = 0.02), and also in RA (p = 0.002), PsA (p < 0.0002), and AS (p = 0.02) patients when analyzed separately, while no significant correlation was found between HAMD and VAS values or pressure pain thresholds and VAS. We found lower pain thresholds in RA and PsA patients while no difference has been evidenced in AS patients compared to healthy controls. HAMD scores were also significantly higher in rheumatic patients than in controls. The use of pressure algometry in the evaluation of chronic pain in patients affected by rheumatoid arthritis, psoriatic arthritis, and ankylosing spondylitis that display comorbid depression could represent an additional and integrative method to improve pain/depression overlap management or research.