Experts have never been sure how a premature baby responds to pain, the Journal of Neuroscience reported.
But a team from University College London found that they do feel pain after analyzing brain scans taken when blood samples were being drawn.
They hope the findings will lead to more formal plans for managing pain in premature babies.
Lead researcher Professor Maria Fitzgerald said: "We have shown for the first time that the information about pain reaches the brain in premature babies.
"Beforehand, although we could assume it, we did not know for sure that these babies could feel pain.
"These babies' brains are so immature that it was difficult to genuinely know that the pain was going to their brain."
Previous research had shown that premature babies are capable of displaying behavioral, physiological and metabolic signs of pain and distress.
However, the measures were all indirect and could be dismissed as bodily reflex reactions, rather than measures of true pain experience.
Researchers conducted brain scans on 18 babies in the neonatal unit at the Elizabeth Garrett Anderson and Obstetric Hospital in central London.
The scientists registered the brain activity in the babies - aged between 25 and 45 weeks from conception - before, during and after nurses performed blood tests using a heel lance.
The results showed a surge of blood and oxygen in the sensory area of their brains, meaning the pain was processed in the higher levels of the brain, the team said.The team claimed the implications of the findings were clear, saying there was a potential for pain experience to influence brain development.