Coping with pain is a complex phenomenon encompassing a variety of behavioral responses and a large network of underlying neural circuits. Whether pain coping is adaptive or maladaptive depends on the type of pain (e.g., escapable or inescapable), personal factors (e.g., individual experiences with coping strategies in the past), and situational circumstances. Keeping these factors in mind, costs and benefits of different strategies have to be appraised and will guide behavioral decisions in the face of pain. In this review we present pain coping as an unconscious decision-making process during which accurately evaluated costs and benefits lead to adaptive pain coping behavior. We emphasize the importance of passive coping as an adaptive strategy when dealing with ongoing pain and thus go beyond the common view of passivity as a default state of helplessness. In combination with passive pain coping, we highlight the role of the reward system in reestablishing affective homeostasis and discuss existing evidence on a behavioral and neural level. We further present neural circuits involved in the decision-making process of pain coping when circumstances are ambiguous and, therefore, costs and benefits are difficult to anticipate. Finally, we address the wider implications of this topic by discussing its relevance for chronic pain patients.