In recent years, extracorporeal shock wave therapy (ESWT) has received increasing attention for its potential beneficial effects on various bone and soft-tissue pathologies, yielding promising outcomes for pain relief and functional recovery. In fact, ESWT has emerged as an alternative, non-invasive, and safe treatment for the management of numerous musculoskeletal disorders, including myofascial pain syndrome (MPS). In particular, MPS is a common chronic painful condition, accounting for the largest proportion of patients affected by musculoskeletal problems. Remarkably, sensory innervation and nociceptors of the fascial system are emerging to play a pivotal role as pain generators in MPS. At the same time, increasing evidence demonstrates that application of ESWT results in selective loss of sensory unmyelinated nerve fibers, thereby inducing long-lasting analgesia. The findings discussed in the present review are supposed to add novel viewpoints that may further enrich our knowledge on the complex interactions occurring between disorders of the deep fascia including changes in innervation, sensitization of fascial nociceptors, the pathophysiology of chronic musculoskeletal pain of MPS, and EWST-induced analgesia. Moreover, gaining mechanistic insights into the molecular mechanisms of pain-alleviating effects of ESWT may broaden the fields of shock waves clinical practice far beyond the musculoskeletal system or its original application for lithotripsy.