Background: Prefrontal repetitive transcranial magnetic stimulation is an established add-on treatment for major depressive disorder and is increasingly feasible with protocols of short duration, such as intermittent theta burst stimulation (iTBS). The most common and limiting side effect is pain at the site of application. Our objective was to investigate how pain develops over time in patients with depression receiving iTBS compared to sham stimulation. Methods: This is a subsample from a randomized clinical trial. Patients received daily sessions of 2400 pulses of dorsomedial prefrontal iTBS or sham stimulation with transcutaneous electric stimulation during 2 to 3 weeks. After unmasking of treatment allocation, patients receiving sham treatment were offered active iTBS in an open phase. Patients rated pain on a scale from 0 to 10 after the last train of stimulation on the first, fifth and final treatment day. A Mann-Whitney U-test was conducted to test for group differences and related-samples Friedman's tests to analyze changes in pain ratings over time. Results: The scalp pain in the group receiving iTBS was rated higher than sham treatment on the first (U = 263.5, p = 0.035) and fifth day (U = 271.0, p = 0.020) but not on the final day (U = 210.5, p = 0.121). The pain decreased mainly during the first 5 days of treatment (χ 2 = 0.875, p = 0.040). In the open phase the pain decreased from the first day to the final day (χ 2 = 1.194, p = 0.001). Conclusions: The subjective pain perception of active dorsomedial iTBS was higher than sham treatment but decreased over time, indicating an analgesic effect, or habituation. The result from this study can be used to inform patients about what to expect regarding pain during an iTBS treatment course. Trial registration: Clinicaltrials.gov, NCT02905604. Registered 19 September 2016.