Millimeter wave therapy (MWT), a non-invasive complementary therapeutic technique is claimed to possess analgesic properties. We reviewed the clinical studies describing the pain-relief effect of MWT. Medline-based search according to review criteria and evaluation of methodological quality of the retrieved studies was performed. Of 13 studies, 9 of them were randomized controlled trials (RCTs), only three studies yielded more than 3 points on the Oxford scale of methodological quality of RCTs. MWT was reported to be effective in the treatment of headache, arthritic, neuropathic and acute postoperative pain. The rapid onset of pain relief during MWT lasting hours to days after, remote to the site of exposure (acupuncture points), was the most characteristic feature in MWT application for pain relief. The most commonly used parameters of MWT were the MW frequencies between 30 and 70 GHz and power density up to 10 mW cm−2. The promising results from pilot case series studies and small-size RCTs for analgesic/hypoalgesic effects of MWT should be verified in large-scale RCTs on the effectiveness of this treatment method.