Anything painful hurts a lot — either physically or emotionally. Your sprained ankle may be painful, but so is your broken heart.
When something is physically painful, it hurts your body in some way, like a painful burn or a painful paper cut. Other things hurt just as much, but in an emotional way, like a painful separation from your cat when you go to summer camp. You can also use this adjective informally to mean really bad: "The wedding band's attempt at 'Stairway to Heaven' was just painful."