Infants born preterm (<37 weeks of gestation) are particularly vulnerable to procedural stress and pain exposure during neonatal intensive care, at a time of rapid and complex brain development. Concerns regarding effects of neonatal pain on brain development have long been expressed. However, empirical evidence of adverse associations is relatively recent. Thus, many questions remain to be answered. This review discusses the short- and long-term effects of pain-related stress and associated treatments on brain maturation and neurodevelopmental outcomes in children born preterm. The current state of the evidence is presented and future research directions are proposed.