This review examines evidence for psychological factors that affect pain across the cancer continuum from diagnosis through treatment and long-term survivorship or end of life. Evidence is convincing that emotional distress, depression, anxiety, uncertainty, and hopelessness interact with pain. Unrelieved pain can increase a desire for hastened death. Patients with cancer use many strategies to manage pain, with catastrophizing associated with increased pain and self-efficacy associated with lower pain reports. A variety of psychological and cognitive behavioral treatments can reduce pain severity and interference with function, as indicated in multiple meta-analyses and high-quality randomized controlled trials. Effective methods include education (with coping skills training), hypnosis, cognitive behavioral approaches, and relaxation with imagery. Exercise has been tested extensively in patients with cancer and long-term survivors, but few exercise studies have evaluated pain outcomes. In survivors post-treatment, yoga and hypnosis as well as exercise show promise for controlling pain. Although some of these treatments effectively reduce pain for patients with advanced disease, few have been tested in patients at the end of life. Given the clear indicators that psychological factors affect cancer pain and that psychological and behavioral treatments are effective in reducing varying types of pain for patients with active disease, these methods need further testing in cancer survivors post-treatment and in patients with end-stage disease. Multidisciplinary teams are essential in oncology settings to integrate analgesic care and expertise in psychological and behavioral interventions in standard care for symptom management, including pain.