Empathy is essential for the survival of social species. In many studies, especially those with animal models, empathy for pain was evaluated by the modulation of pain sensitivity. However, the relationship between pain sensitivity and empathy for pain is not well established. Here, by performing two experiments, we aimed to investigate their relationship at both behavioral and electrophysiological levels. In Experiment 1, we characterized individual pain sensitivity using pain threshold and tolerance in a cold pressor test, self-report empathy using Interpersonal Reactivity Index, and pain-related psychological factors, including pain-related anxiety, depression, pain catastrophizing, and pain-related fear, using well-validated questionnaires. We observed that pain sensitivity was positively correlated with emotional empathy, and their relationship was mediated by pain-related anxiety, pain catastrophizing, and pain-related fear. In Experiment 2, we quantified empathy for pain using pain intensity and unpleasantness as well as event-related potentials (ERPs) in an empathy for pain task. Positive correlations were observed between pain sensitivity and psychophysiological empathic responses (i.e., the P3 component and the late positive potential in ERPs), and their relationship was mediated by pain-related fear. These results suggested that being influenced by some pain-related psychological factors, individuals with higher pain sensitivity tended to have stronger empathy for pain, manifested as stronger emotional reactions to others' pain. Our results indicated that the conventional strategy of using pain sensitivity to quantify empathy should be treated with caution, as their relationship could be disturbed by experimental manipulations or pathological modulations that could influence individual emotional states or cognitive processes.