Normally speaking anemia won't directly lead to eye pain. Anemia is the red blood cell count or hemoglobin is lower than normal standard, which is mainly resulted from tow pathways, decreased production or increased loss of red blood cell or hemoglobin. Common symptoms associated with anemia include fatigue, short of breath, racing heart and pale appearance. Some anemia patients might go through hair loss or even worsening of heart problems. I have anemia myself. I always feel tired and spinning. But it seems that there is no direct connection between anemia and eye pain. There are usually two kinds of eye pain, ocular pain or orbital pain. Ocular pain refers to tissue around eyes, which might be caused by conjunctivitis, styes, corneal abrasion or ulcer, chemical burns or blepharitis. Meanwhile orbital pain is described as dull pain deep in eyes, commonly resulted from glaucoma, migraine, optic neuritis, iritis, or eye trauma. It refers to infection or inflammation or disease of tissue in the eyes, instead of superficial. I am not sure if any above fit your case or not, the best choice is to visit your ophthalmologist for professional support.