We aimed to investigate transitions to and from sickness absence, or disability pension among individuals with back, neck, or shoulder pain and/or with common mental disorders (CMDs), and the role of familial (genetics and shared environment) influences on the transitions. Swedish twins born 1935–1985 who responded to pain and CMDs survey items (N = 41,516) were followed on average 8.7 years for sickness absence states in national registers. Multi-state Cox regression models were applied for three exposure groups: pain, CMDs, and presence of both, compared to unexposed. Exposure discordant twin pairs, stratified by zygosity, were analysed to assess the role of familial factors. Hazard Ratios (HR) with 95% confidence intervals and transition intensities were calculated. HRs were similar for transitions between states among those with pain or CMDs. The highest HRs were for transitions from entry to sickness absence and sickness absence to disability pension among those with both pain and CMDs (HRs: 1.61 and 1.43, respectively). Higher HRs for dizygotic compared to monozygotic twins for the first transition to sickness absence and for altering back to not being sickness absent indicate familial confounding. Back, neck, or shoulder pain and/or CMDs indicate a higher risk to become sickness absent and for repeated sickness absence episodes over time compared to unaffected.