The multimorbidity formed by sleep disturbances and pain conditions is highly prevalent and has a significant impact in global health and in the socioeconomic system. Although different approaches have been directed toward its management, evidence regarding an optimal treatment is lacking, and pharmacological options are often preferred. Health professionals (e.g., pain and sleep clinicians) tend to focus on their respective expertise, targeting a single symptom with a single drug. This may increase polypharmacy and the risk of drug interactions, adverse events, and mortality. Hence, the use of medications that can directly or indirectly improve sleep, pain, and other possible accompanying conditions without exacerbating them becomes especially relevant. The objectives of this comprehensive review are to: a) describe the beneficial or deleterious effects that some commonly used medications to manage pain have on sleep and sleep disorders; and b) describe the beneficial or deleterious effects that frequently prescribed medications for sleep may have on pain. Moreover, medications targeting some specific sleep-pain interactions will be suggested and future directions for improving sleep and alleviating pain of these patients will be provided with clinical and research perspectives.