Pain is a common word used to refer to a wide range of physical and mental states sharing hedonic aversive value. Three types of pain are distinguished in this article: Physical pain, an aversive state related to actual or potential injury and disease; social pain, an aversive emotion associated to social exclusion; and psychological pain, a negative emotion induced by incentive loss. This review centers on psychological pain as studied in nonhuman animals. After covering issues of terminology, the article briefly discusses the daily-life significance of psychological pain and then centers on a discussion of the results originating from two procedures involving incentive loss: successive negative contrast—the unexpected devaluation of a reward—and appetitive extinction—the unexpected omission of a reward. The evidence reviewed points to substantial commonalities, but also some differences and interactions between physical and psychological pains. This evidence is discussed in relation to behavioral, pharmacological, neurobiological, and genetic factors that contribute to the multidimensional experience of psychological pain.