To investigate the physiopathology of pain in chronic inflammatory rheumatic diseases (CIRDs), we assessed the prevalence of migraine and neuropathic pain in 499 patients with CIRDs. We studied 238 patients with rheumatoid arthritis, 188 with spondyloarthritis (SpA), 72 with psoriatic arthritis (PsA), and 1 unclassified. Migraine was diagnosed according to IHS migraine diagnostic criteria. Neuropathic pain was diagnosed when patients scored at least 3 on the DN4 questionnaire. Participants completed a validated self-assessment questionnaire. Migraine prevalence was 34% (165/484), and it was highest in PsA. Risk factors for migraine were a high level of anxiety, female sex, young age, and TNF-alpha inhibitor treatment (OR = 1.90 (1.13–3.25)). Besides, high disease activity was a risk factor in SpA. Blood CRP level was not significantly associated with migraine. Of 493 patients with CIRDs, 21.5% had chronic pain with neuropathic characteristics. Compared to the French general population, these patients had significantly higher prevalences of migraine (two-fold) and neuropathic pain (three-fold). This study showed that migraine and neuropathic pain frequently occurred in patients with rheumatic diseases. Therefore, upon reporting residual pain, these patients should be checked for the presence of migraine or neuropathic pain, despite adequate clinical control of rheumatic disease.