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Coccydynia is a painful condition of the coccyx that is frequently misdiagnosed and managed inconsistently. This review summarizes and grades the current evidence on diagnostic strategies and treatment options. We systematically searched the literature and included 42 studies covering conservative, interventional, and surgical management. Based on these data, we propose a current best framework for diagnostic evaluation and therapeutic management. Initial assessment should include detailed history and focused examination with palpation for localized coccygeal tenderness and symptom provocation. Standard anteroposterior and lateral radiographs are recommended mainly to exclude serious pathology, while dynamic sitting-standing radiographs can be considered when mechanical pain is suspected and symptoms persist. Cross-sectional imaging with magnetic resonance imaging or computed tomography (CT) should be reserved for trauma, red-flag features, suspected neoplasm or infection, or inconclusive basic imaging. First-line treatment should consist of education, ergonomic advice, offloading strategies, nonsteroidal anti-inflammatory drugs or other simple analgesics, and physiotherapy, with extracorporeal shock wave therapy having the strongest support. In patients with persistent pain, image-guided diagnostic and therapeutic injections and radiofrequency procedures can provide substantial relief and help select candidates for more invasive treatment. Coccygectomy should be reserved for patients with chronic, function-limiting pain who have failed conservative and interventional care and show concordant findings on assessment, imaging, and diagnostic blocks, while modified incision strategies and minimally invasive techniques may be considered in selected cases.