Infants in neonatal intensive care units frequently experience clinically necessary painful procedures, which elicit a range of behavioral, physiological, and neurophysiological responses. However, the measurement of pain in this population is a challenge and no gold standard exists. The aim of this study was to investigate how noxious‐evoked changes in facial expression, reflex withdrawal, brain activity, heart rate, and oxygen saturation are related and to examine their accuracy in discriminating between noxious and non‐noxious stimuli. In 109 infants who received a clinically required heel lance and a control non‐noxious stimulus, we investigated whether combining responses across each modality, or including multiple measures from within each modality improves our ability to discriminate the noxious and non‐noxious stimuli. A random forest algorithm was used to build data‐driven models to discriminate between the noxious and non‐noxious stimuli in a training set which were then validated in a test set of independent infants. Measures within each modality were highly correlated, while different modalities showed less association. The model combining information across all modalities had good discriminative ability (accuracy of 0.81 in identifying noxious and non‐noxious stimuli), which was higher than the discriminative power of the models built from individual modalities. This demonstrates the importance of including multiple modalities in the assessment of infant pain.