Nowadays, there is evidence that relates the amount of physical activity, as well as the impact of psychological factors, to the intensity of symptoms present in patients with fibromyalgia (FM). However, there are no studies which correlate the level of association of physical activity, psychological factors and vegetative symptoms in the FM population. The study has a cross-sectional observational design with 41 participants being recruited from a private clinic and rehabilitation service. The Autonomic Symptom Profile (Compass-31) to assess vegetative symptoms, the GODIN questionnaire to evaluate the level of leisure activity, and the pain catastrophizing scale, Tampa Kinesiophobia Scale and Self-Efficacy Scale to assess psychological factors, were used. A low and significant level of association was found between pain catastrophizing (PCS) and Kinesiophobia (r = 0.398; p < 0.01), as well as with catastrophizing and vegetative symptoms (r = 0.428; p < 0.05). Furthermore, a low and significant level of association was also found between self-efficacy and vegetative symptoms (r = 0.397; p < 0.05). No association was found between the level of daily physical activity (measured by the Godin Leisure questionnaire) and vegetative symptoms, nor with any psychological factor studied. There is an association between vegetative symptoms and psychological factors. Nevertheless, more research which takes other factors into account, such as lifestyle and nutritional, is needed.