Since the end of 2019, the whole world has been struggling with the pandemic of the new Severe Acute Respiratory Syndrome Coronavirus (SARS-CoV-2). Available evidence suggests that pain is a common symptom during Coronavirus Disease 2019 (COVID-19). According to the World Health Organization, many patients suffer from muscle pain (myalgia) and/or joint pain (arthralgia), sore throat and headache. The exact mechanisms of headache and myalgia during viral infection are still unknown. Moreover, many patients with respiratory failure get admitted to the intensive care unit (ICU) for ventilatory support. Pain in ICU patients can be associated with viral disease itself (myalgia, arthralgia, peripheral neuropathies), may be caused by continuous pain and discomfort associated with ICU treatment, intermittent procedural pain and chronic pain present before admission to the ICU. Undertreatment of pain, especially when sedation and neuromuscular blocking agents are used, prone positioning during mechanical ventilation or extracorporeal membrane oxygenation (ECMO) may trigger delirium and cause peripheral neuropathies. This narrative review summarizes current knowledge regarding challenges associated with pain assessment and management in COVID-19 patients. A structured prospective evaluation should be undertaken to analyze the probability, severity, sources and adequate treatment of pain in patients with COVID-19 infection.