(1) Background: The main characteristic of fibromyalgia (FM) is generalized musculoskeletal pain. This may be accompanied by muscle and joint stiffness, sleep and mood disorders, anxiety and depression, cognitive dysfunction, and chronic fatigue. It is endemic in developed countries, with a higher prevalence among women than men, and its etiology is still unknown. Diagnosis is made based on chronic generalized pain and through the presence of tender points. The objective of this study was to analyze the efficacy of diathermy on pain in patients with fibromyalgia. (2) Methods: A single, blind, randomized experimental study was developed with a sample of 31 participants. Measurements were taken and recorded at three different intervals using the following measurement tools: the pressure pain threshold (PPT) at the tender points (TP) of the right and left trochanteric prominence with an algometer, the pain measurement scale, the Fibromyalgia Impact Questionnaire, the sleep quality index (PSQI, Pittsburgh), the Multidimensional Fatigue Inventory (MFI-S), and the scale for anxiety and depression (Hospital Anxiety and Depression Scale). Sociodemographic data were collected through Google Forms (age, height, weight, Body Mass Index). The intervention took place twice weekly across four weeks of sessions. (3) Results: Statistically significant results were obtained in the right and left trochanter PPT, as well as for anxiety and fatigue in the experimental group. The results obtained show that this treatment has managed to improve the quality of sleep, the impact of disease, chronic fatigue, and anxiety in patients with FM. (4) Conclusions: Diathermy is a tool that can help reduce pain. It can also improve the baseline levels of chronic fatigue, anxiety, the impact of the disease, and sleep quality in patients with fibromyalgia.