Poor sleep quality (SQ) negatively affects pain associated with musculoskeletal disorders (MSD). As the level of economic development of a country determines its sanitary conditions, these can influence the sleep–pain relationship; therefore, it is relevant to generate evidence in the population with MSD in developing countries. This cross-sectional study sought to determine the effect of poor SQ on pain in Chilean individuals with MSD, controlling for sex and duration of pain (in months). Method: A total of 228 individuals were included. SQ was measured with the Pittsburg Sleep Quality Index (PSQI), pain (intensity, interference and distress relative to pain) was measured with visual analog scales. Structural equation modeling (SEM) was performed to analyze the effect of SQ on pain. Results: A high frequency of poor SQ was present in the studied group, and was more prevalent in women. The SEM model evidenced that poor SQ predicts greater pain. Sex influences sleep quality and pain, but not pain duration. Conclusions: These findings indicate that poor SQ predicts higher pain in MSD and that women exhibit worse SQ and more significant pain than men. Our findings support that SQ should be considered in the comprehensive approach to pain in individuals with MSD.