This review investigates the burden, prevalence, and associated factors of chronic musculoskeletal pain in immigrants in Europe during the last decade with a focus on immigrants from North Africa and the Middle East. The intentions of the review are to inform healthcare policymakers, to identify gaps in the literature, and aid the planning of future research. Eleven observational studies were identified using online databases. Data suggest that chronic pain is more prevalent, more widespread, and more severe in immigrants, and that chronic pain deteriorates with length of stay in the destination country. Immigrant women were identified as a particularly vulnerable group for developing chronic pain and comorbid mental health disorders. Older age, lower education, financial hardship, being underweight or obese, time in transit during migration, experience of trauma, and immigration status were also associated with chronic pain. Anxiety, depression, and post-traumatic stress disorder diagnoses were also more prevalent in immigrants and were significantly associated with chronic pain. Several gaps in the literature were identified: research is limited in terms of quantity and quality, does not reflect actual immigration trends, and does not account for immigration factors.