Dispositional optimism has been shown as a predictor of the well-being of individuals suffering from chronic pain. The present study aims to analyze the mediating role of tenacity and flexibility, as goal-setting strategies, between dispositional optimism and adaptation in a sample of 99 women with fibromyalgia. The regression analyses point to optimism and tenacity as the only variables that are associated with vital purpose and well-being, with the intensity of pain having an effect on positive affect. The interaction between tenacity and flexibility emerges as a predictor of well-being and a mediator in the relationship of optimism with vital purpose, positive affect, and psychological well-being of the women. The interaction between the tenacious pursuit of goals and the flexible adjustment is an effective strategy that mediates between optimism and well-being of women with fibromyalgia.