<i>Background:</i> There is a plethora of infant pain measures; however, none of them have been validated for extremely low for gestational age (ELGA) infants (<27 weeks’ gestation). To date, clinicians, researchers and parents use information gleaned from more mature infants to make inferences about pain in ELGA infants. Using physiological or behavioral pain indicators derived from more mature infants may lead to inaccurate assessments and management. <i>Objectives:</i> To compare physiological (heart rate, oxygen saturation) and behavioral (9 facial activities, cry) pain indicators of ELGA infants with infants of varying more mature gestational ages (GAs). <i>Methods:</i> The aim was to determine the effects of GA on pain response. GA was categorized into four mutually exclusive strata: <27 6/7 weeks, 28–31 6/7 weeks, 32–35 6/7 weeks and >36 weeks. Physiological data during four phases of a routine heel lance were collected by placing disposable ECG electrodes and pulse oximetry probes on the infant’s chest. Behavioral data were collected by videotaping facial activities, and cry data were collected by audio recording. <i>Results:</i> Four facial activities (brow bulge, eye squeeze, nasolabial furrow, vertical mouth stretch) in response to acute pain were present in ELGA infants. Facial activities increased following painful procedures and the magnitude of responses was proportional to GA with the youngest infants (<27 6/7 weeks GA) showing the least amount of change. Decreased oxygen saturation and increased heart rate were associated with the most invasive phase of the heel lance; however, the differences were neither clinically or statistically significant across age groups. Cry was not a sensitive pain indicator in ELGA infants, due to the presence of endotracheal tubes in this high-risk population. <i>Discussion:</i> ELGA infants have similar pain responses to older infants, but the responses are dampened. Other factors such as severity of illness, frequency of painful procedures or medication use should be examined, as they may influence the pain responses in ELGA infants.