Pain is a major problem in sick newborn infants, especially for those needing intensive care. Pharmacological pain relief is the most commonly used but may be ineffective, have side effects, including long-term neurodevelopmental sequelae. The effectiveness and safety of alternative analgesic methods are ambiguous. The objective is to review the effectiveness and safety of non-pharmacological methods of pain relief in newborn infants and to identify those that are the most effective. PubMed and Google Scholar were searched using the terms: ‘infant’, ‘premature’, ‘pain’, ‘acupuncture’, ‘skin to skin contact’, ‘sucrose’ ‘massage’, ‘musical therapy’ and ‘breastfeeding’. We included 24 studies assessing different methods of non-pharmacological analgesic techniques. Most resulted in some degree of analgesia but many were ineffective and some were even detrimental. Sucrose, for example, was often ineffective but more effective than music therapy, massage, breast milk (for extremely premature infants) or non-invasive electrical stimulation acupuncture. There were also conflicting results for acupuncture, skin to skin care and musical therapy. Most non-pharmacological methods of analgesia provide some modicum of relief for preterm infants but none are completely effective and there is no clearly superior method. Study is also required to assess potential long-term consequences of any of these methods.