Osteosarcopenia (OSP) is a geriatric syndrome characterized by the coexistence of osteoporosis and sarcopenia and associated with an increased risk of fragility fractures, disability, and mortality. For patients with this syndrome, musculoskeletal pain represents the most significant challenge since, in addition to limiting the individual’s functionality and promoting disability, it has a huge psychological burden involving anxiety, depression, and social withdrawal. Unfortunately, the molecular mechanisms involved in the development and persistence of pain in OSP have not yet been fully elucidated, although immune cells are known to play a key role in these processes. Indeed, they release several molecules that promote persistent inflammation and nociceptive stimulation, resulting in the gating of ion channels responsible for the generation and propagation of the noxious stimulus. The adoption of countermeasures to counteract the OSP progression and reduce the algic component appears to be necessary, providing patients with a better quality of life and greater adherence to treatment. In addition, the development of multimodal therapies, based on an interdisciplinary approach, appears to be crucial, combining the use of anti-osteoporotic drugs with an educational programme, regular physical activity, and proper nutrition to eliminate risk factors. Based on this evidence, we conducted a narrative review using the PubMed and Google Scholar search engines to summarize the current knowledge on the molecular mechanisms involved in the pain development in OSP and the potential countermeasures to be taken. The lack of studies addressing this topic highlights the need to conduct new research into the resolution of an ever-expanding social problem.