Sickle cell disease (SCD) is a red blood cell disorder complicated by lifelong issues with pain. Management of SCD related pain is particularly challenging due to its subjective nature. Hence, the development of an objective automatic pain assessment method is critical to pain management in SCD. In this work, we developed a continuous pain assessment model using physiological and body movement sensor signals collected from a wearable wrist-worn device. Specifically, we implemented ensemble feature selection methods to select robust and stable features extracted from wearable data for better understanding of pain. Our experiments showed that the stability of feature selection methods could be substantially increased by using the ensemble approach. Since different ensemble feature selection methods prefer varying feature subsets for pain estimation, we further utilized stacked generalization to maximize the information usage contained in the selected features from different methods. Using this approach, our best performing model obtained the root-mean-square error of 1.526 and the Pearson correlation of 0.618 for continuous pain assessment. This indicates that subjective pain scores can be estimated using objective wearable sensor data with high precision.