Pain is the most common and fearsome symptom in cancer patients, particularly in the advanced stage of disease. In cancer pain management, the first option is represented by analgesic drugs, whereas surgery is rarely used. Prior to considering surgical intervention, less invasive locoregional procedures are available from the wide pain management arsenal. In this review article, comprehensive information about the most commonly used locoregional options available for treating cancer pain focusing on interventional radiology (neurolysis, augmentation techniques, and embolization) and interventional radiotherapy were provided, also highlighting the potential ways to increase the effectiveness of treatments.