The maxim "no pain, no gain" summarizes scenarios in which an action leading to reward also entails a cost. Although we know a substantial amount about how the brain represents pain and reward separately, we know little about how they are integrated during goal-directed behavior. Two theoretical models might account for the integration of reward and pain. An additive model specifies that the disutility of costs is summed linearly with the utility of benefits, whereas an interactive model suggests that cost and benefit utilities interact so that the sensitivity to benefits is attenuated as costs become increasingly aversive. Using a novel task that required integration of physical pain and monetary reward, we examined the mechanism underlying cost-benefit integration in humans. We provide evidence in support of an interactive model in behavioral choice. Using functional neuroimaging, we identify a neural signature for this interaction such that, when the consequences of actions embody a mixture of reward and pain, there is an attenuation of a predictive reward signal in both ventral anterior cingulate cortex and ventral striatum. We conclude that these regions subserve integration of action costs and benefits in humans, a finding that suggests a cross-species similarity in neural substrates that implement this function and illuminates mechanisms that underlie altered decision making under aversive conditions.