Preterm infants are exposed to frequent painful procedures and agitating stimuli over the many weeks of their hospitalization in the neonatal intensive care unit (NICU). The adverse neurobiological impact of pain and stress in the preterm infant has been well documented, including neuroimaging and neurobehavioral outcomes. Although many tools have been validated to assess acute pain, few methods are available to assess chronic pain or agitation (a clinical manifestation of neonatal stress). Both nonpharmacologic and pharmacologic approaches are used to reduce the negative impact of pain and agitation in the preterm infant, with concerns emerging over the adverse effects of analgesia and sedatives. Considering benefits and risks of available treatments, units must develop a stepwise algorithm to prevent, assess, and treat pain. Nonpharmacologic interventions should be consistently utilized prior to mild to moderately painful procedures. Sucrose may be utilized judiciously as an adjunctive therapy for minor painful procedures. Rapidly acting opioids (fentanyl or remifentanil) form the backbone of analgesia for moderately painful procedures. Chronic sedation during invasive mechanical ventilation represents an ongoing challenge; appropriate containment and an optimal environment should be standard; when indicated, low-dose morphine infusion may be utilized cautiously and dexmedetomidine infusion may be considered as an emerging adjunct.