Several pain syndromes, which may be related to the diagnostic procedures, to the treatments, or to disease itself, may be recorded during the disease course of most haematological malignancies. So far, the painful complication occurring in this setting has been poorly investigated. Pain arising from skeletal and bone marrow (BM) involvement represents the most frequent disease-related painful states observed in this setting, while patients undergoing treatments with curative intent, such as BM transplantation, usually experienced painful stomatitis. Additionally, more than one pathologic process may coexist simultaneously in one patient and the pathophysiology of pain and hypersensitivity may change over time. An accurate diagnostic assessment and the identification of the underlying pathogenetic mechanism may dictate the treatment approach. For most patients in pain, the World Health Organisation's three-step analgesic scale provides adequate relief with oral options. Pain left unrelieved may induce an aberrant peripheral activity and central functional alterations, generating chronic neuropathic pain. In the aim to summarize the current knowledge on this topic, the pertinent literature and the current guidelines for the pain management were reviewed by a group of haematologists, experienced in palliative care and by a skilled algologist, involved as consultant in this clinical setting.