Background and objectives: Even though pain in multiple sclerosis (MS) patients is common and possibly associated with reduced quality of life, its exact prevalence and characteristics remain vaguely understood. We aimed to estimate the true extent of pain and its associations with quality of life in Lithuanian MS patients and to compare this data with that of a control group. Materials and Methods: Data were collected prospectively at the Department of Neurology, Lithuanian University of Health Sciences Kaunas Clinics. A face-to-face structured interview and a questionnaire were used to collect demographic and clinical data of the MS (n = 120) and control (n = 120) groups. The Expanded Disability Status Scale (EDSS) was used to quantify disability in the MS group. Scores ≥4/10 in the Douleur Neuropathique 4 questionnaire were classified as neuropathic pain. Patients were evaluated using the anxiety and depression subsets of the Hospital Anxiety and Depression Scale (HADS-A and HADS-D), the physical and mental component subsets of the Short Form-12 questionnaire (PSC-12 and MSC-12). Results: The MS and control groups did not differ in pain prevalence (76.7% vs. 65.9%, p = 0.064) or intensity. Lhermitte sign, lower limb, and face pain were more common in the MS group, whereas subjects in the control group were more often affected by lower back, neck, and joint pain. Neuropathic pain and pain lasting longer than 2 years were more common among pain-affected MS patients than among controls. MS patients with pain had higher EDSS, HADS-D, and HADS-A and lower PSC-12 scores than those without pain; however, no difference was found regarding the duration of MS or age. Males with MS and pain had higher MSC-12 and HADS-D scores in comparison to the same subset of females. Conclusions: Pain affects approximately three out of four patients with MS in Lithuania and is negatively associated with the mental and physical aspects of quality of life.