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All neonates in the Neonatal Intensive Care Unit (NICU) or during the first days of life undergo painful and stressful procedures. Epidemiologic studies have shown that pain induced by these procedures is not effectively prevented or is inadequately treated. Pain experienced during the neonatal period may lead to negative outcomes, especially in preterm neonates. Prevention is the first step of pain management, and practical guidelines should be used in the NICU. Assessment must be done with adequate tools that take into account the infant's pathology and gestational age. Distinguishing between acute and prolonged pain is important for both assessment and treatment. The most common drugs that have been studied for the treatment of pain and stress are opioids, hypnosedatives, and NMDA receptor antagonists. Morphine and fentanyl are most frequently used for acute or prolonged pain in the NICU. They have potent analgesic effects and few immediate or long-term adverse effects. Midazolam is a commonly used hypnosedative, but its adverse effects limit its use. Drugs such as propofol and ketamine have been used for acute painful procedures; however, further research is needed to assess their long-term effects. Use of non-pharmacologic pain management techniques has increased in recent years. These methods are easy, inexpensive, and effective in helping newborns recover from painful procedures. Sweet solutions and non-nutritive sucking, breastfeeding, skin-to-skin mother care, swaddling, and facilitated tucking are the most commonly employed and evaluated non-pharmacologic methods. Hospitals should promote and improve parent involvement in pain management. In-service education and well organized hospital teams are crucial for successful implementation of pain protocols in newborns.