HIV-associated sensory neuropathy (HIV-SN) is a common, and frequently painful complication of HIV, but factors that determine the presence of pain are unresolved. We investigated: (i) if psychological factors associated with painful (n = 125) versus non-painful HIV-SN (n = 72), and (ii) if pain and psychological factors affected quality of life (QoL). We assessed anxiety and depression using the Hopkins Symptoms Checklist-25. Pain catastrophizing and QoL were assessed using the Pain Catastrophizing Scale and Euroqol-5D, respectively. Presence of neuropathy was detected using the Brief Neuropathy Screening Tool, and pain was characterised using the Wisconsin Brief Pain Questionnaire. Overall, there was a high burden of pain, depression and anxiety in the cohort. None of the psychological variables associated with having painful HIV-SN. Greater depressive symptoms and presence of pain were independently associated with lower QoL. In those participants with painful HIV-SN, greater depressive symptom scores were associated with increased pain intensity. In conclusion, in a cohort with high background levels of psychological dysfunction, psychological factors do not predict the presence of pain, but both depression and presence of pain are associated with poor quality of life.