The paper focuses on the advances in the field of pain treatment by transdermal delivery of specific drugs. Starting from a short description of the skin barrier, the pharmacodynamics and pharmacokinetics including absorption, distribution, action mechanism, metabolism and toxicity, aspects related to the use of pain therapy drugs are further discussed. Most recent results on topical anesthetic agents as well as the methods proved to overcome the skin barrier and to provide efficient delivery of the drug are also discussed. The present review is proposing to summarize the recent literature on the pharmacotherapeutic principles of local anesthetics and non-steroidal anti-inflammatory drugs, generally used to alleviate pain but also the drugs as nanoformulations with potential applications in transdermal delivery. A special attention is given to efficient formulations meant for transdermal penetration enhancement of anesthetics where the drug is encapsulated into macrocyclic molecules (cyclodextrins, cyclodextrin derivatives), liposomes or polymer nanoparticles and hydrogels.