Background: The COMT gene polymorphism is associated with neurological and psychiatric disorders and pain perception. The present study investigates the existence of anxiety and pain perception in relation to the COMT (catechol-O-methyltransferase) gene polymorphism in labouring women (during “natural” childbirth) with or without inhaled analgesia. Methods: A total of 181 women who chose vaginal birth were enrolled in this study. To present the difference in pain perception, the parturients were divided into one group (n = 90) that chose labour analgesia with inhaled nitrous oxide (50% nitrous oxide and 50% oxygen) and one group (n = 91) without analgesia. The blood samples were taken during the pregnancy as a part of routine pregnancy controls in the hospital. The COMT gene polymorphism was detected with the PCR technique. The pain perception of parturients was self-evaluated two times according to the VAS (Visual Analogue Scale), and anxiety as a personality trait was determined with the STAI-T (State Trait Anxiety Inventory). Pain perception as well as anxiety were compared according to COMT genotypes. Results: In the 181 pregnant women, there were 40 women (22%) of wild homozygotes (GG) of COMT, 95 women (53%) of mutant heterozygotes (GA), and 46 women (25%) of mutant homozygotes (AA). A negative association of pain perception with the GA (mutant heterozygote) polymorphism of the COMT gene versus the wild-type (GG polymorphism) was observed. The GA polymorphism of the COMT gene was associated with 0.46 units lower pain perception compared to the wild type (GG). The anxiety trait score in group AA was lower than in groups GA and GG. The difference reached statistical significance only when comparing AA versus GA (p > 0.042). Analgesic efficacy of nitrous oxide was noticed in 22% of labouring women who reported moderate pain (VAS score 4–7). Conclusions: The COMT gene polymorphism was associated with pain perception and anxiety among parturients. The COMT gene polymorphism GA was associated with negative pain perception among labouring women. Nitrous oxide showed statistical significance in anxiolytic efficacy during labour in women with mild anxiety as a personality trait. Anxiolytic efficacy of nitrous oxide has shown better efficacy in parturients with the COMT gene polymorphism AA.