That women have a higher tolerance for pain than men is a widely accepted assertion and it sounds compelling because of the reasoning that women evolved better pain tolerance because they needed to give birth. Pushing a human through birth canal can indeed be painful! However, I was always skeptical of this assertion partly based on anecdotal evidence and partly based on the other side of the argument that men should have evolved better pain tolerance because they were far more likely to get injured in the hunter gatherer societies.
What do researchers say?
A couple of definitions before looking at related research:
Pain Threshold: The point at which a person starts perceiving pain. For example, just placing a needle on the skin doesn't cause pain but as you keep pushing it against the skin, there is a point at which one starts perceiving pain which would then be their pain threshold. This is completely physiological.
Pain Tolerance: The point at which a person can no longer tolerate pain. In other words, the maximum pain a person can tolerate without breaking down. This is partly physiological but is also considerably influenced by external factors like culture, gender, situation etc.
Research spanning several decades and hundreds of subjects across different cultures has pretty much concluded that men have both a higher pain tolerance and pain threshold. What's more, when women were asked to focus on the emotional aspect of the pain, their threshold and tolerance dropped further while it had no affect on men.
Aren't men faking it?
Pain related studies are usually self reported, as in researchers rely on their subjects to tell them when and how they feel pain. This leads to the obvious skepticism that men might be faking it because of the societal factors which usually train and expect men to be tougher and capable of withstanding more pain.
This criticism is not totally unfounded. In fact, studies found that when compared with each other, Indian men reported higher threshold and tolerance than their American counter parts and both sexes reported higher pain tolerance when the researcher working with them is the opposite gender. This strongly suggests that societal factors have a significant influence on the pain tolerance / threshold exhibited.
However, that doesn't mean that there is no physiological aspect to it. There were other studies that focused on measuring pain objectively by relying on physiological responses. In one such study, they measured how much a person's pupils dilated when subjected to pain (pupils dilate under pain and humans cannot voluntarily control their pupils). This study too found that men have a higher threshold and tolerance for pain.
Based on the studies referred to above, it is safe to conclude that men can handle pain better. Having said that, it is also true that the difference isn't as much as men want it to be because they are partially faking it.