Being whipped, getting a deep-tissue massage, eating hot chili peppers, running marathons, and getting tattooed are all painful. Sometimes they are also pleasant—or so many people claim. Masochistic pleasure consists in finding such experiences pleasant in addition to, and because of, the pain. Masochistic pleasure presents a philosophical puzzle. Pains hurt, they feel bad, and are aversive. Pleasures do the opposite. Thus many assume that the idea of a pleasant pain is downright unintelligible. I disagree. I claim that cases of pleasant pains are more common than many philosophers suppose, and that they have no essential connection to either sex or psychopathology. I review several attempts to account for masochism that preserve the intuition that nothing can be both pleasant and painful at once. These account for some, but not all, cases of masochism. The stubborn remainder, I argue, are sensations that are genuinely pleasant and painful at once. I give an account of how that might be, focusing on boundary-pushing aspects of masochistic pleasure that have been largely overlooked in the literature. I show how, properly understood, pain and pleasure can coexist—and also why it is very rare for them to actually do so.