This paper discusses some of the main methodological challenges involved in carrying out research on pain, especially pain experienced by people with multiple sclerosis (MS). It starts by arguing the most common challenges in pain related research methodology, which will form the framework of this article. Within this framework, the issues include pain definition, the self-reported nature of pain, the complex and multidimensional nature of pain, confounders, study design, and other methodological challenges faced by researchers in using assessment tools and scales. Presenting a universal framework for pain measurement, suggesting appropriate study design, and using comprehensive assessment and appropriate statistical method to analyze the collected data will be the main solutions for those challenges that are discussing at the end of this paper. Finally, paper will end with a conclusion of study's implications and significance.