Answer:
Well, pain and fear are two relatively different things. Since pain is a physical sensation as well as mental, as fear is just a mental sensation. When we feel pain, like once we touch a hot stove, sensory receptors in our skin send a message via nerve fibres (A-delta fibres and C fibres) to the neural structure and brainstem then onto the brain where the feeling of pain is registered, the data is processed and therefore the pain is perceived. And for pain it comes from the brain. When people encounter something that frightens them, the hypothalamus in the brain reacts by releasing a series of chemicals to the sympathetic nervous system and the adrenal-cortical system.
hope this helped (with sources) :)