Frustration or psychological pain refers to a negative emotional experience derived from unexpected incentive loss. The scientific study of frustration with non-human animals is abundant and consistent, whereas human research on this topic seems to be more fragmentary because of the variety of conceptual, theoretical and experimental approaches. The main aim of this paper was to conduct a narrative review of the scientific literature about the psychological construct of frustration. With this goal in mind, we first described the consummatory successive negative contrast, a widely used animal model of psychological pain and frustration. We also conducted a systematic search of experimental studies aimed at inducing frustration in humans, reviewed studies focused on analyzing the relationship between physical and psychological pain, and selected experiments involving the manipulation (omission, devaluation) of social stimuli. A discussion of the implications of the results for basic and clinical research was finally included, with an especial emphasis in the current COVID-19 pandemic, a worldwide experience of incentive loss with relevant psychological consequences.