Conscious sedation and analgesia are methods used to relieve pain during surgery to retrieve eggs from the ovaries as part of in vitro fertilisation procedures. There have been concerns that the drugs used for sedation and pain relief may have an adverse effect on pregnancy rates. This review identified 21 randomised controlled trials, involving 2974 women, comparing the effects of five different methods of conscious sedation and pain relief including general anaesthesia. We found insufficient evidence to support any one method as being superior to others in terms of pain relief or pregnancy outcomes. The mainstay of pain relief is the use of opioid drugs. Most of the methods seemed to work well and the effect was usually enhanced by addition of another method such as pain relief with paracervical block, which involves a local anaesthetic agent being injected in the cervix prior to egg retrieval. Women reported a high degree of acceptability and satisfaction associated with the various methods that were assessed in this review. Evidence was generally of low quality, mainly due to poor reporting of methods, small sample sizes and inconsistency between the trials. As women vary in their experience of pain and in coping strategies, the optimal method may be individualised.