In addition they were more than two times as likely to report suicide attempts.
"This is further evidence that we need to be aware of the heightened risk for suicide in those with chronic pain," said Mark Ilgen, lead study author, a psychologist at the Ann Arbor VA Hospital and assistant professor at the University of Michigan.
"More work is needed to figure out who's going to be at the greatest risk and how can we intervene and decrease this risk," he added.
For the study, the researchers analysed the 5,692 adults in the United States taken from a 2001 to 2003 epidemiological survey.
The participants were asked about chronic pain and suicidal thoughts in the last 12 months.
After adjusting the figures to account for the effect of mental illness and chronic physical conditions, the researchers found that those who suffered from head pain were almost twice as likely as others to report having suicidal thoughts.
Those with other types of pain not related to arthritis were four times as liable to have tried to commit suicide.
The research team also found that almost 14 percent of those with three or more pain conditions reported suicidal thoughts and almost 6 percent of these individuals reported a suicide attempt.
"Pain is one of those factors that may make someone feel more hopeless and less optimistic about the future and increases the chances that they will think about suicide," said Ilgen.
Still, "the vast majority of people with any of these forms of pain are not suicidal," he said.
The findings appear in the journal General Hospital Psychiatry.